For others who are reading this, I cannot select the line. It is a horizontal line.

It is not a border around an image, nor a border around a box, nor around a cell. It is not part of a box I created.
Clicking on the line does not cause the ribbon to update to show editing functions. The Microsoft 365 subscription ribbon functions on the Mac just like the ribbon on a PC. (I've used both.)

When I select the paragraph above the line, then Paragraph editing features become available. Selecting None for border does not remove the line.