Your issue isn't with Word, it's with your printer. Most printers have
minimum margin requirements which Word is powerless to override. Even if
advertised as "borderless", read the fine print & it will refer to
photographs - typically 5x7 or smaller - or only when some type of
photo-quality paper is selected.

Your printer may have setings to allow borderless on other types of stock,
or you may be able to fool it into thinking it's printing on photo stock -
but the results may be messy.