It's a helpful feature if you need it, but if you don't know it exists when your margins suddenly disappear, you might feel a bit lost. Word lets you hide the white space (including the headers and footers) at the top and bottom of a page, thereby fitting more content on the screen. This isn't a phantom gremlin it's actually an obscure feature that's a bit too easy to engage. Sometimes, the top and bottom margins seem to disappear.
In Print Layout view, Word displays a 'sheet of paper.' Each onscreen border represents the edge of a single sheet.
