I have the exact same Conky setup as in my Hardy installation. I had an issue with the borders having shadows and couldn’t figure out what was wrong in my configuration. Turns out, my Conky code is fine. A fellow ubuntuforums.org user pointed out that the cause is CompizFusion. I didn’t have CompizConfig installed at the time. The weird thing was that my Conky worked flawlessly in my upgraded Intrepid Ibex but the shadow/border shows up when I used the fresh install.
I installed CompizConfig and turned off Window Decoration as recommended. That did not solve the issue though. I was playing around with the settings and discovered where the fault lied. It was the opacity of the shadow/borders. I dragged it to the minimum that the bar would let me, saved the settings and ran Conky again. It works great now.