I actually had this same thing earlier today, I dug around in my graphics settings and couldn't find a fix, then I just assumed it always had borders and I was just imagining things. Started trying to fix it again because of your post and found the problem lol. 

Open the game -> options -> turn fullscreen fetish off

at this point you should see a little of your desktop. Move your mouse above the window, then lower it over the game window bar. The mouse cursor disappears, but right click anyway. 

Click properties -> Uncheck "Launch in fullscreen" -> Close and reopen the game (should be windowed, but normal now) -> options -> turn fullscreen fetish on 

I found out that this setting seems to be universal for some rpg maker games. Specifically, I played Black Souls, which I could only fullscreen by checking this box, which is how it got checked for Lona.