The Borders dialog (Format | Borders and Shading) is a little bit
unintuitive. You have to select the border style you want first, then apply
it. If you have an existing single-line border applied, changing the style
is not sufficient. Once you've selected a specific style and weight (and
color), it will be used when you use the buttons on the Borders palette
(Formatting toolbar) until you change to another one.