The only things I can think of that might exlain this:
1. you placed more than one box here and that the top an bottom lines don't quite match up making them look like one thicker line.
2. You inserted a line that is basically doing the same thing as option 1.
3. YOu have a field in the header and footer that has it's border turned on making it llok like a thick box line.
4. delete the box field, preview the report to make sure it all looks fine without it and then add the box back in to see if that helps.
In preview mode I would try to move the box line up and down in the header and footer to see if there is anything else hidden behind it.
Sorry I can't help more but I just don't know how you can change the line size on only part of that box field.