I also looked at a theme I built with volume and balance sliders and it sounds from your reply number 3 that you've got the right idea. Each element in a DX player widget is a separate object. The vol slider is one object but, it consists of 2 images the backgound and the slider.
When you are configuring your slider properties DX builder will darken the image of whatever you're working on. When you close the properties panel for the active object just click anywhere on a blank area of the desktop and that should remove the focus on the object and cause it to appear normal.
I haven't had any problems with any black contour. If what I described above doesn't clear this up then I'm thinking there might be an image problem of some sort. I use png files for both the slider backgound image and the slider image and they look perfect on my machine.