Yes, this is part of the Metro skin. It was made to match the look of the Metro screen (which has the icon frames).
There is no option to enable or disable the frames. You can edit the skin to remove them. Here's how you edit skins:
http://www.classicshell.net/tutorials/skintutorial.htmlRemove the line "Main_icon_frame=3" and the frames will go away.
BTW, I am going to remove the Metro skin from future versions. It was inspired by a very early build of Windows 8 (The developer preview from Sep 2011) which is no longer relevant.