Solved! Go to Solution.
For removing the gray border of shapefiles with many categories:
1) Open the Layer Properties>Symbology
2) Right click on one of the colors/symbols in the table with the headers: Symbol, Range, Label (for graduated colors)
3) Select "Properties for All Symbols"
4) Change outline color to none, can also change outline width
5) Ok and Apply
After almost 4 years I still have the same issue. Funnily, I was able to apply styles like for polygons (not raster) to my landuse after I extracted them by attribute into seperate raster files. I used the unique values symbology. Within the property window I could not change the outline but in the TOC when clicking directly on the symbol I got the nice style editor (as for polygons). (This works most of the times for me.)
Edit: It has the possitive side effect that I can sort the classes for the legend manually instead of having them sorted by value.