[Mario Veras]

It appears that every year Adobe changes how this works so we have to constantly update the instructions and find new hacks for what should be an included feature. That being said, here is a way I tested in CC 2018:

– Add the “Radial Shadow” effect to the clip.
– Set the Light Source values to match the Anchor Point found under the Motion effect (expand Motion effect above).
– Change the Shadow Color to the color you want the frame to be.
– Check the box “Resize Layer”. You should now see the border
– Set Opacity to 100%
– Adjust Projection Distance to the desired border thickness
– Enjoy!