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. shows how to add them. As soon as you add on, the gray bar appears.

The uppermost picture in 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.