We don't have options to add border line in header and footer area.
Suppose we are printing a page with a border outline of full page then our header and footer always come outside of that border . So we need to add border to header or footer area to match with our page border .
I would also really like to be able to make it.
It's really help to make reports look more proffessionnal, especially if you have to use header or footer as 3 distincts area...
Hope we will have it one day...
Devin Biehler commented
I fear this will never be noticed by Microsoft, but I would also like to see this feature added. I spent too long trying to figure out how to do this, and judging by the numerous web search results, others have too.