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What is your pixel grid preference? it may because your Pixel Grid preference turned off.
When working with the Vector tools (drawing a Shape layer for example) Photoshop CS6 has a new preference to Snap Vector Tools and Transforms to Pixel Grid. This option can be extremely helpful when creating objects that need solid, straight edges as it prevents drawing shapes that aren’t fully aligned to a pixel and are therefore created with anti-aliased edges.
please read the following link:
The "shadow" is antialiasing. Photoshop's snap to grid and aligned rendering are preventing antialiasing on the outside, but your stroke width doesn't appear to be a whole number of pixels - so it results in some antialiasing on the inside.
Thank you, you helped me find my answer.
THANK YOU! The thickness of my rectangle border was 2 pt. I entered '2 pixels' and all is well!