I was able to reproduce the behavior only when changing the border from the Table Wizard dialog.
You can, however, modify it using the Styles Builder dialog or the Properties inspector module. You can see how in this screencast—http://screencast.com/t/aE0QAA4lOnhb.
Thanks for answer Ianko, but tell me what about border to table? How can I create border for whole table and for all cell's?