If you don't call set_color_depth, Allegro defaults to 8 bits per pixel for historical reasons.
Your first call for to set_color_conversion should be moved up to before the load_datafile call.
I'm not sure whether or not your second call to set_color_depth is correct or not. That is, it's not incorrect, but it might be meaningless. It appears to be refering to a features added in 4.2.x, and it matches the example exdata.c. However, by my reading of the 4.2.0 docs and header files, it doesn't actually do anything.
Anyway, if you just want to get rid of the colored border, you can switch color depths (the border color generally only occurs in 8bpp), or you can change your palette to have color 0 be black. Or there might be another solution I don't know of. There is an item in the Allegro FAQ "Why do I have a funny color border at the edges of my monitor?", but all it says is to make your color 0 be black.