When we set a corner radius for the header the background is overlapping the border so header will not have rounded corners.

    <Style TargetType="telerik:AccordionItemHeader">

        <Setter Property="BackgroundColor" Value="Blue" />

        <Setter Property="BorderColor" Value="Red" />

        <Setter Property="BorderThickness" Value="2" />

        <Setter Property="CornerRadius" Value="8" />

    </Style>

</telerik:AccordionItem.Resources>