Adding borders to screens for the purpose of exporting images is buggy. Depending on the screen, adding a 1px border won’t show up, but a 2px border will (but not on another screen), or the border won’t be flush with the edges of the screen, or it won’t export. Here is a file with different screens where I’ve had these issues.
You’re right. Adding it directly to the screen is broken. Only workaround is to nest the content in a cell and apply a border to it.