Thanks to Andrew Ziem in his post A Better Office .docx converter, I have discovered a place needing many improvements in OOo. I started to fix the border problem exposed in Andrew's document, but then found that the table styles weren't imported. This problem is now fixed in go-oo trunk and a patch has been submitted on IssueZilla.
The best way to understand the problem is to consider the following screenshots. To show how important these styles are, simply consider that the simple-black-border tables in word are using a style.
The document in Word 2007:
Tables in Word 2007
The document opened by OpenOffice.org (dev300m40):
Tables in OOo without the fixes
The document opened by ooo-build using the OdfConverter:
Tables in OOo using OdfConverter
The document opened by OpenOffice.org with the fixes:
Tables imported by OOo after fixes
As Andrew pointed it, there are still other places of improvements in the docx files import; I will continue to fix them: many thanks Andrew!