Thank you for sending us that link Mark!
The gap between the border and your images looks to be coming from a margin-bottom rule that is added to image using the aligncenter class by your theme, BlogGrid, and is pushing the border on the bottom of the <p> element away from the image. Your theme should have a Custom/Additional CSS area available in the Customizer and you can enter the following snippet there to remove that gap between the borders and images:
p img.aligncenter {
margin-bottom: 0px;
}
Hopefully that code helps you get your image border working as expected and please let us know if there is anything else that we can do to help!