I had the same problem, but I also found the solution. You will have to make some changes to style.css if you want to get rid of it.
The bar is not the result of the <p> surrounding images, but the <a…
link around it, in combination with a bottom-margin of the images.
The gray color you see is the background color of
the link, this is set in the line:
.entry-content a{color:#444;background:#f3f3f3;}
you can change the background color to white to get rid of the gray bar, but this changes the appearance of all your other links too.
The better solution is this:
remove the bottom margin from the images. this is set in the line:
#content img,img.alignleft,#content img.alignright,#content img.aligncenter{margin-bottom:12px;max-width: 100%;height: auto; }
simply remove the “margin-bttom:12px;” and the gray bar will dissapear, but your other links will stay intact.
cheers