This cannot be a part of a Style. Sorry.
The closest you can come using a style is something like this:

What you can do is create either an AutoCorrect entry or an AutoText entry that has your gradient line/shape together with a paragraph mark in the Heading 1 style.

• Automated Boilerplate Using Microsoft Word
• Understanding Styles in Microsoft Word

You may want to suggest to Word developers that they allow gradients as borders. If they did that, then it could be a part of the style.
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