That's because you're thinking of the asterisk in the wrong way.
The way you have it, the first grep command will find any file with zero or more D's in it, including BOR.DAT, BORD.DAT and BORDDDDD.DAT.
So the second grep command most likely doesn't even have any files to act upon; if it did, it wouldn't behave as you expect either.
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You need something like:
ls | grep "BORD.*.DAT" | grep -v "BORD.*mgt.*.DAT"
In this, the first grep command finds any file with zero or more characters between BORD and .DAT, including BORD.DAT, BORD1.DAT and BORD4321.DAT and displays those.