There is something like a pading/space between menu items.
For example when you don't have any style the menu item's text should be next to each other but its not.
It makes a problem when you want to put Html in menu text because by default these HTML codes in each item stads a few pixels far from the nex one but they should be sholder to sholder.
If you take a look at the followig url you can have a better undresting of this:

http://www.sorna.net/eo_menu_problem.gif

The only thing you can do (like in the third one) is to use a background color to pretend it doesn't exist.
But how can we remove it ?

It is fixed now by setting Text Padding of each item to 0.
Looks like it is not 0 by default.

Thanks