What steps did you use to apply the border. Please list all the steps.
A border applied to the document pages is not affected by margins.
I started a new document, entered some text and started a new page.
Then I used Edit - Select All
Then File - Page Setup ...
Page Border tab
Select box and 'Apply to:' Whole Document
This applied a border to all the pages of my document and it encompassed all of each page - outside the margins and the headers and footers.