You'll need to select the borderless option in the actual printer driver first, this is accessed through the print settings button in Lightroom. Once you have done that, then Lightroom will allow you to move the margin sliders to zero...
However, if Lightroom can't determine that you've enabled bordlerless printing from your driver then you're

. Another example of Lightroom trying to be too clever, and where less is sometimes more.
In Lightroom 2, they've removed the big printer settings button and hidden it under the file menu.
Because print drivers will zoom the picture to spill over slightly, you might get better results creating a custom page size in your printer driver if it allows it. This might fool Lr into actually displaying the image as borderless.