So this is really a designers choice?
A skin would have to be specifically designed with no shadow on the frames
I believe your screenshots are a fine example of Lightstar's explanation. If you look closely at the images, the top skin has no shadows and the bottom skin does. Those shadows are built into the window frame images and they take up space on the screen, even though part of the shadow is almost completely transparent to provide for a smooth blending out. So, when a designer chooses to build shadows into the theme, which is typical, the window will use "extra" space for those shadows.
On an older version of Windowblinds, in the WBConfig window (where you select skins), there is an option in the "Settings" tab which can be selected - "Do not use Per Pixel frames even if the skin supplies them." I don't know if that option remains in the current version or how it might perform on Win7 or Win8. It will make WB use a second set of frame included in the skin, UIS2 frames. They will have very little or no transparency, and you can not use the WB transparency adjustment on them, but using that might be an option to accomplish the effect you're wanting.