Check the source code of your site. In the header you should see the the style, if you can't then it's possible you have some restrictions on your WP installation.
The alternative to using custom CSS is to edit the plugin CSS. Click on the 'CSS editor' link on the plugin styling page and change the border colour as necessary.
This file will get over written when I issue new versions of the plugin but as long as you keep a copy locally you will be able to add your colours.