I doubt you will get a response from someone actually responsible for Visio so I will jump in with some observations.

Is there a reason you don't put the border into a background page and apply that background to the page. The background objects don't act as targets for the connectors so this would solve your problem simply.

The more complex solution would be to consider that there must be a property in the shapes shapesheet to toggle the behaviour you describe. If I put a regular box around the page then I see your described behaviour. But if I add a page border type shape from the existing stencils then the connector ignores them. You can read about the complexity in making this happen on this page Truly “No-Glue-To” Shapes – Visio Guy

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Andrew Lockton
Chrysalis Design, Melbourne Australia