You have a penalty to relations because your borders are CLOSE, not CLOSED. i.e, you are right next to each other and this is causing tension. There are no penalties for closed borders, you are misreading the text.
Since this seems to be about the 15th time someone has made this mistake can you please change the text to make this point clearer Firaxis? Or can we make a "No these aren't bugs, but people keep asking about them" thread.
The bug they fixed was to do with AI units not being removed from territory when they declared war on someone with open borders.