See the picture for how it looks.
You can't start a road in non-claimed territory, but starting and ending in claimed territory, the road-creation algorithm allows this behaviour. It can not logically be intended.
As a consequence, I can not remove this road, except the small parts that are inside my claimed territory. The result is that there is a permanent road within this hostile sector. At least until I conquer the sector and then I may be able to remove it I suppose.
How to reproduce:
Start building a road at the border of your sector, where the border is going in to the left.
Path the road across the "dent" into where your sector starts again.
Remove the ends which is in your sector.
Now you can not remove the permanent road in the hostile sector.