It is possible to have JWindow/JFrame with borders. Review the example below:


Java Code:
public class MyWindow{
  public static void main(String s[]) {
    JWindow win = new JWindow();
    
    JPanel pan = new JPanel();
    pan.setBorder(new LineBorder(Color.blue));
    win.getContentPane().add(pan,"Center");
    
    pan.setLayout(new FlowLayout());
    pan.add(new JButton("Hello"));
    pan.add(new JButton("World"));

    win.setSize(200,200);
    win.setVisible(true);
    }
}