I'm Lizzy, one of the Gurus on the support team at Shopify.
It looks like the blue outline you're seeing is from your browser. If you hit tab on your keyboard the box should move to the next item and if you click elsewhere on the page it will disappear. You can see here that I was able to create it on my own site by hitting tab.
The function of this outline is for people not using a mouse to be able to see which link they have selected.
Let me know if this helps to remove it for you!
Are you working on your store set up? If so, how has it been going so far?