You need to exit the sub before the error message, or forget the error message and make sure it doesn't appear e.g.
Code:
Sub FormatTable()
If Selection.Information(wdWithInTable) = True Then
Selection.Tables(1).Select
With Selection.Tables(1)
With .Borders(wdBorderLeft)
.LineStyle = wdLineStyleThinThickSmallGap
.LineWidth = wdLineWidth300pt
.Color = wdColorAutomatic
End With
With .Borders(wdBorderRight)
.LineStyle = wdLineStyleThinThickSmallGap
.LineWidth = wdLineWidth300pt
.Color = wdColorAutomatic
End With
With .Borders(wdBorderTop)
.LineStyle = wdLineStyleThinThickSmallGap
.LineWidth = wdLineWidth300pt
.Color = wdColorAutomatic
End With
With .Borders(wdBorderBottom)
.LineStyle = wdLineStyleThinThickSmallGap
.LineWidth = wdLineWidth300pt
.Color = wdColorAutomatic
End With
With .Borders(wdBorderHorizontal)
.LineStyle = wdLineStyleSingle
.LineWidth = wdLineWidth050pt
.Color = wdColorAutomatic
End With
With .Borders(wdBorderVertical)
.LineStyle = wdLineStyleSingle
.LineWidth = wdLineWidth050pt
.Color = wdColorAutomatic
End With
.Borders(wdBorderDiagonalDown).LineStyle = wdLineStyleNone
.Borders(wdBorderDiagonalUp).LineStyle = wdLineStyleNone
.Borders.Shadow = False
End With
With Options
.DefaultBorderLineStyle = wdLineStyleSingle
.DefaultBorderLineWidth = wdLineWidth050pt
.DefaultBorderColor = wdColorAutomatic
End With
Selection.Font.Bold = True
Selection.Font.BoldBi = True
Selection.Font.Size = 14
Selection.Font.Name = "Times New Roman"
Else
MsgBox "Select a Table First", vbCritical
End If
End Sub