it is called outline.
more info: http://www.outlinenone.com/
"This is especially useful for folks who can't use a mouse or have a visual impairment. If you remove the outline you are making your site inaccessible for these people."
If you know for sure, your users aren't visual impaired you can remove it with this css:
/* remember to define focus styles! */
:focus {
outline: 0;
}
I believe that is the default Mendix styling for :focus.
Setting this (pseudo-code) should remove it.
*:focus {border: none;}