Good call on the Delphi part, it's not owner drawn though, it's just the normal dialog with pictures on the buttons (but I did have a Windows theme on for the square borders).
Here is a shot from Excel 2010, back on the default Aero template of Windows, with the same behaviour.
I can't take a screenshot, but when the red selection box comes up for a "Windows object" it is inside the frame already, so it's not even considering the edge of the dialog box as something worth taking a photo of.
One thing I am wondering if SC can do - can you take an image using the region that's bigger than the dialog box, and then have SC automatically trim out the whitespace until it hits the borders, and then save only that as the screenshot? I always take the shot on white. That would work around the problem.
Currently what I have to do is capture the bigger area, go into paint, move the item to the corner and shrink the right hand side, which is a lot of work for hundreds of screenshots.