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.
Just wondering, does anyone have the same issue for vector data, such as point data? If yes, how did you resolve it? Thanks!