As far as I know borderlines' colors are by default black and you can't change this. Nontheless by unmerging cells they shouldn't change color but remain the color choosen.

But don't expect too much of Excel when merged cells are involved. This feature quite often is causing trouble

In my opinion you are much better off, in using the main dialog for cells formating, as shown in the picture above, instead using the pencil. Just remember to first choose color and style, and apply afterwards the bordersections. It doesn't matter if borders partly exists you simply overwrite them bei clicking the sections.