If the HTML output looks as you expect, but the Excel does NOT look as you expect, then this is not an issue with PROC REPORT, it is an issue with Excel not rendering the table settings correctly, or else the table border settings are being overridded by the cell-level settings. This probably turns your question into a question for Tech Support, whether they know of a way to have the table borders set via a style template when using TAGSETS.EXCELXP.
I understand, however, Header borders are CELL-level borders. You are trying to change TABLE-level borders. Just because you can change CELL-level borders in the ExcelXP destination, does not mean that Excel will correctly render TABLE-level borders.
I think it's worthwhile to test whether ODS HTML respects your TABLE level borders as a problem-solving/debugging technique. If ODS HTML shows the TABLE-level borders, but Excel does not, then the problem is NOT with SAS or PROC REPORT. This is useful information.
For example, when I try this code which has RED TABLE-level borders and YELLOW CELL-level borders, I see RED and YELLOW in the HTML output, but I only see YELLOW in the ExcelXP output. This leads me to believe that the issue is with Excel. Sending the information via PROC REPORT overrides in this instance would be the same as sending style info to Excel via a style template.
I don't know whether there's a way to change TABLE-level borders in Excel. This may be a question for Tech Support.