Your choice...
Currently SynEdit only has one border color. But that is not a technical restriction, just the amount of properties needed.
The EditorOptions in the IDE can give ypou some ideas.
Or see TSynHighlighterAttributesModifier in components\synedit\synedithighlighter.pp and base classes for "Frame..."
FrameEdges should be replaced/extended by a set, instead of an enum
Maybe more important, if you support overlapping frames:
[ AAAA ( BBB ] CCCC )
"BBB" has both frames, of course the top and bottom will only be from one frame (unless there is an alpha channel).
But the right/left borders should all 4 be present.