My guess is that it's the comments section. One of those features in Word not everyone knows or uses. At work, we use it when reviewing a colleagues draft document. But you can use it yourself also to make notes for later use when composing a document.
http://blogmines.com/blog/2010/02/17/how-to-insert-a-comment-in-word-2010-document/ shows how to add them. As soon as you add on, the gray bar appears.
The uppermost picture in http://www.officetooltips.com/word/tips/customizing_revision_marks.html shows where to change from seeing that gray bar to not seeing it. In the top right field of the Tracking box on the Review tab, change "Final: show markup" to "Final". And it's gone.
So it's just a setting.
I've got a vertical frame showing up at random intervals in a 301 page document written in Word 2011 for Mac. Every .pdf I try to generate has the frame, and I can't figure out how to get rid of it, or why it appears in the Word .doc at all. Please help! I've tried various "save as" commands, and the frame always appears.