Page borders are a section property. As Andrew says, you need a separate section for different borders. Sections / Headers and Footers in Microsoft Word 2007-2013

It would be possible to put such a border as a graphic in a header or footer and fine-tune manipulation. That would not be a Word page border, though, and the only reason I can think of that you might want to do that is if you wanted different borders on even and odd pages.