There is no "Report" section, the available sections in Telerik Report are listed in Understanding Report Sections
help article. Thus if you want to show border around a report you should consider which sections you use and apply borders to them respectively.
We've tested this on our end and the borders show correctly in both HTML and PDF, so we would appreciate if you provide more information on BorderStyle and BorderWidth and anything else that might be relevant. Usually a sample project that shows the behavior you describe is the fastest way to resolve an issue.
All the best,
the Telerik team