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 .
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.