Removing the border / stroke of custom shapes in photoshop can be a pain in the ass if you do not know where to look. Here is how you do the trick:
1. Simply select the layer you would like to adjust;
2. and then select the custom shapes tool (the same button as you choose to generate a custom shape in the first place).
3. Now on the top of the page (by most) you will be able to adjust the fill and stroke. Set the stroke to no color and there you are!
There is also the shortkey for activating or deactivating the border around custom shapes:
CTRL SHIFT H