You have to remove the borders after the paste.

This worked for me. It creates a table, but there are no borders. You seem to care just about not showing the gridlines.

Option Explicit

Public Sub ToWord()


   Dim strFile As String
   Dim wdApp As Word.Application
   Set wdApp = New Word.Application
   
   With wdApp
      .Visible = True
      .Activate
      .Documents.Add
      
      
      'Range("A1", Range("A1").SpecialCells(xlCellTypeLastCell)).Copy
      Worksheets("Exercises for week").Activate
      Range("A1").Select
      Range(Selection, Selection.End(xlDown)).Select
      Selection.Rows.AutoFit
      With Selection
         .HorizontalAlignment = xlGeneral
         .VerticalAlignment = xlTop
         .Orientation = 0
         .AddIndent = False
         .IndentLevel = 0
         .ShrinkToFit = False
         .ReadingOrder = xlContext
         .MergeCells = False
      End With
      Selection.Rows.AutoFit
      Selection.Columns.AutoFit
      Columns("A:A").ColumnWidth = 100
      Range("A1").Select
      Range(Selection, Selection.End(xlDown)).Select
      With Selection
         .HorizontalAlignment = xlGeneral
         .VerticalAlignment = xlTop
         .WrapText = True
         .Orientation = 0
         .AddIndent = False
         .IndentLevel = 0
         .ShrinkToFit = False
         .ReadingOrder = xlContext
         .MergeCells = False
      End With
      
      Range("A1").Select
      Range(Selection, Selection.End(xlDown)).Select
      
      Range(Selection, Selection.End(xlDown)).Copy
      
      '.Selection.Paste
      '.Selection.Rows.ConvertToText (Seperator = wdSeperateByTabs
      
      
      .Selection.Paste
      
      .Selection.Borders(wdBorderTop).LineStyle = wdLineStyleNone
      .Selection.Borders(wdBorderLeft).LineStyle = wdLineStyleNone
      .Selection.Borders(wdBorderBottom).LineStyle = wdLineStyleNone
      .Selection.Borders(wdBorderRight).LineStyle = wdLineStyleNone
      .Selection.Borders(wdBorderHorizontal).LineStyle = wdLineStyleNone
      .Selection.Borders(wdBorderVertical).LineStyle = wdLineStyleNone
      .Selection.Paragraphs.Alignment = wdAlignParagraphLeft
      .Selection.Paragraphs.SpaceBefore = 0
      .Selection.Paragraphs.SpaceAfter = 0
   
   End With

   Set WordApp = Nothing

End Sub