I agree it would be a valuable feature to be able to change/edit the width of the outside border while editing your campaign. At this time the border width is determined by which template you select. For example, the Basic Letter template features a fine border and the Basic Newsletter template has a thicker border.
We absolutely see that controlling the width of the campaign border could be important for your branding, and we're continuing to track that request for our development team. We're always looking to improve our features, and we use customer feedback like yours to help those engineers determine which features should be a priority.