Disable MyGUI windows snapping
MyGUI has a widgets snapping feature (disabled by default, enabled in OpenMW for some reason). When enabled, it moves MyGUI widget to parent window's border if distance between window border and widget border is 10 pixels or less. This threshold does not depend on screen resolution and it does not respect GUI scaling. As a result, it does not allow to have small margins between widget and parent window (useful for console and inventory windows).
I suggest to disable it and use a default MyGUI (and Morrowind one, by the way) behaviour.
A simplest way to reproduce this issue is to use these settings with the 1920x1080 resolution:
[Windows]
console x = 0.01
console y = 0.01
With this resolution 0.01
is 10 pixels for height (so it is treated as 0), but it is 19 pixels for width, so there is a gap only from left side: