In a closed curve, you can never fall out of the space by moving around in it. In a curve with endpoints, you can fall out of the space by walking across one of the endpoints, so the endpoints are considered to be boundary components.
It's important to distinguish having a boundary vs. being the boundary of something, since in some sense the difference between the two is the whole point of homology.
For a two-dimensional shape (or more formally "manifold"), an interior point is one which locally looks like the plane (you can move in all directions), and a boundary point is one which locally looks like a half-plane. All the boundary points taken together will be a one-dimensional manifold _without boundary_, which is pretty neat. For example, take an annulus (a 2D shape like a CD-rom). The boundary of the annulus is two one-dimensional manifolds (the boundary circles), and those circles have no boundary.
The disk that it encloses, indeed, has a boundary (the curve in question).
You have it backwards; [0, 1] is closed and (0, 1) is open. This gives the terminology "open interval" and "closed interval".
The confusion about "why does a closed curve have no boundary" likely comes more from the word "boundary". The point is that for an n-dimensional object, the boundary is (n-1)-dimensional. For a curve, which is 1-dimensional, the boundary is 0-dimensional, ie points-- so we're looking for endpoints, and a closed curve doesn't have any.
But a closed curve doesn’t mean the same thing as a curve which is a closed set. A closed curve is a continuous image of S^1 (the circle) , yeah?