To reproduce use the following snippets in the CellFormatting event of the exporter:
 ThemableColor red = new ThemableColor(System.Windows.Media.Colors.Red);
 CellBorders redBorders = new CellBorders(new CellBorder(CellBorderStyle.Medium, red));            

 e.CellStyleInfo.Borders = redBorders;

or 

ThemableColor red = new ThemableColor(System.Windows.Media.Colors.Red);
CellBorders fourBorders = new CellBorders();

fourBorders.Top = new CellBorder(CellBorderStyle.Thin, red);
fourBorders.Bottom = new CellBorder(CellBorderStyle.Thin, red);
fourBorders.Right = new CellBorder(CellBorderStyle.Thin, red);
fourBorders.Left = new CellBorder(CellBorderStyle.Thin, red);

e.CellStyleInfo.Borders = fourBorders;