Multiply is being applied to all pixels, it's just that the pixels around the edge are not the same color. You can use Matte tools to refine or choke the edges. (Effect>Matte>Matte Choker) If you very carefully look at the pixel values on the edges of your illustration while viewing the info palette you'll see that you have some semi transparent pixels on the edges. That is where you problem comes from. Alpha add will help in matching antialiased edges but it will not help in your situation.
Thank you for you quick reply.
Somehow, I don't have that Effect (Effect>Matte>Matte Choker) in CS5, all I have there is "mocha shape".
If you use AE in a different language it would be in a different category since those names get localized. check that. Otherwise reinstal lthe program. Those effects are standard effects and aside from something having gone wrong during install I can't imagine why they would be missing.