Well, Roxanne's is 100% chalk and supposed to be water soluable. I have found that cotton quilting thread some times picks up the colour from marking pencils. The pencil marks come off the quilt but the stitching retains the colour. I have seen a new product called Marking-pencil Removal by Quilter's Rule International. I wonder if this spray may help?
The last time this happened to me, I gave up and removed the quilting and quilted again with thread that matched the colour of the pencil marks. Luckily it was only a small quilt and I don't know if you want to re-quilt the border that is effected.