Most printers have at least some unprintable area on all sides, which is a
function of the paper feed mechanism. This area is usually larger for inkjet
printers than for lasers, especially on the trailing edge. No matter how you
set page margins or fill the page, the printer will do no more than it can,
and what it is telling Word it can do will usually be accurately represented
in Print Preview.

If you set the page margins to 0 and the printer driver does not support
this, you'll get an error message when you exit Page Setup. If you allow
Word to "fix" the margins for you, you'll see what the minimum margins
defined by the printer driver are.

If you have one of the few printers that *can* print clear to the edge, you
may have to select a specific setting in your printer Properties. You may
also find that this applies only for certain paper sizes (4x6 photos, for
example, but not Letter paper).

The way commercial printers print "full bleed" (the printing term for
printing clear to the edge) is to print on oversize paper and then trim it
to the desired size. That may be your only option for achieving the effect
you want.