The only way you could have a separate colour for the border on each page using Word's page border tools would be by using 'next page' Section breaks between the pages so you can independently colour the border for each Section.

The alternative would be to overlay each page with a transparent rectangle, then colour the rectangle borders. There is no need to delete existing rectangles to change their colours.

Either approach, though, would make it difficult to manage future edits to the document.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]