Yes, it's an antialiasing problem. If you rotate an image in Photoshop for example, the edge pixels will be blended with the background colour. With GIS data, the edge pixels are blended with adjacent altitudes when transforming, but if there are none then they blend with 0, thus lowering the edge terrain. I always load my global DEM first before creating high res DEMs for TG so any gaps are seamlessly filled in
For those using QGIS, you would want to merge the DEMs first and then change the projection. I'll have a look at VTBuilder as it sounds like it has better workflows for this sort of thing than QGIS.