In the last moments of writing this question I had an epiphany. The dotted lines inside the SplitContainer are just guidelines and not a fixed margin. The location of the nested SplitContainer is 3, 3.
By manually setting the location to 0, 0 (the designer snaps to 3, 3) the grey on the left disappeared. I also had to enlarge it by 3 pixels to prevent a new border on the right.
Doing this to each nested SplitContainer solved my problem: Fixed form http://fr33dan.com/Fixed.png