You can change this behavior with a theme. In the button's properties, give it a theme (near the bottom). In that theme, click "Edit Theme" then "Add Class Items" and put in Button. Then your theme should have received extra properties on the right. In Button/Styles set Focus to a new StyleBoxEmpty.
You can save your theme to a file to give multiple buttons the same theme.
This rectangle indicates that your button is selected, which is an important information when trying to use your interface with a keyboard or a controller. You may want to make it look better instead of just removing the information.