Create a new TelerikWinForms project.
Add a collapsible panel.
Set the border colour via the "Edit UI Elements" button in the task menu, under BorderPrimitive.ForeColor.
The border will appear to change in design view, but will not change at runtime, with the appropriate line not being added to the form .Designer.cs file at all.
This was tested with the Windows 8 theme applied.
Workaround:
((Telerik.WinControls.Primitives.BorderPrimitive)(this.radCollapsiblePanel1.ControlsContainer.GetChildAt(0).GetChildAt(1))).ForeColor = Color.White;