I think I see what's going on here, and it is easily misleading. I assume that this example will replicate the effect you're seeing.
You capture some frames and then you view the result using movie():
x = linspace(100,200,10);
y = 100*rand(10,1) + 100;
Obviously, I can't really run movie() here, but at least this static frame should be what you'd expect from the call to movie -- it looks just like it did when the frames were being plotted and captured. You then write the captured frames to disk, and all of a sudden, the plot box and ticklabels are gone.
vidObj = VideoWriter('blah.avi');
writeVideo(vidObj,thisframe);
In order to see what's going on, we can make one simple change. Before calling movie(), let's clear the figure.
Notice that the x and y axes now only span the unit interval. What's happening is that movie() is simply inheriting whatever the prior XLim, YLim are from when the axes was last used. If we clear the figure, it just uses [0 1] as the default. So when you run movie(), you actually are seeing that the frames are cropped as the AVI file shows. The tick labels aren't part of the captured frames. They're just left over from plotting.
The way to fix the issue should be to capture the parent figure instead of just the axes in the call to getframe(), something like:
... or whatever figure handle refers to the intended target.