The sensor on Nikon's DSLRs always have a few extra columns of pixels at the left and right edge, and extra rows at the top and bottom. These extra pixels are not normally used for the image, so they won't show up in JPEGs coming out of the camera. They are included in NEF files, though, and there have been a few utilities to extract them. One use of these extra pixels is to provide proper demosaicing of the border pixels. With a Bayer pattern sensor, to arrive at the approximately correct color of any given pixel, the algoritm considers adjacent pixels in each direction and does some interpolation. Alas, when doing this for a border pixel, there would normally only be 3 adjacent pixels (or only 2 for the corner pixels). The extra pixels ensure that proper interpolation can be done even for the borders and corners.
Now, normally nobody will come across these extra pixels. I don't see them in D800 NEF files that I convert with LR4. But perhaps some older raw converters have not been properly updated for the D800 file format or may have some bug. So I suspect this may be the case here. As the extra pixels don't show in the JPEG, the camera is likely ok.