When we have filters and parameters on the page, even thought they look the same from the user's point of view, but they are different under the hood.

Filters are tied to data while Parameters are not.

When formatting a parameter, we would need to click on the parameter itself, then click the dropdown beside it to open the parameter's setting menu. From the menu, we would need to choose "Format Parameter" and then we can change the format/remove borders and backgrounds/etc:

NOTE: Changing the format for one parameter will apply across all of them. So, the best way is to put them into a container and format the container.