I found it out for myself (after a long way of trying and testing).
It's because the Window's template has a "built in" border.
Here is my way to solve it:
You change the Window's Template with your own ControlTemplate.
This ControlTemplate just contains a StackPanel with Margin=0 and other TemplateBindings (in my case, I only need the Background property:
<window.template>
<controltemplate targettype="Window">
<stackpanel margin="0" background="{TemplateBinding Background}">
<contentpresenter></contentpresenter>
</stackpanel>
</controltemplate>
</window.template>
Probably this can help someone else too :)