First... make sure you do not have a default feather
applied to the selections:
From the looks of your images it appears as though you are using the feather
option to attain your rounded effect. (either through the toolbar, or from the drop down menu) If this is the case that is where your problem lies.
The Feather
option gradually decreases the opacity from 100% to 0%, based on the value you entered into the menu.
A better option would be to create a selection, then go to the Select > Modify > Smooth...
dialog box. This allows you to smooth the corners and create a rounded rectangle, sans feather.