gwgardner is right. It's part of the mod. I may change it at some point, but it's not that easy. I have tried to create the look of hand drawn board, so as to give a greater impression of a real board game, since we cannot play with perspective or lighting. I could not simply change the drawing style of the dense urban completely (to keep a coherent look) and I have to deal with color limitations, since urban hexes are frequently placed over hills, forest, open, desert, etc. You have to get a color that fits well all those different tonalities. Density alone wasn't enough to distinguish - clearly - a dense urban hex from an urban hex when placed side by side. Since some games use circles to identify cities and dense urban tend to be very important hexes, for their huge defensive bonus and for being, usually, convergence points of roads and railroads, circling was a solution to highlight them as well as defining their borders with relation to urban hex.
Anyway, I may try to find a different solution, at some point, and upload it as an option.