Add the Border FX to the event on the timeline to which you want to have the border applied. To get it to effect the entire project, you must be adding the FX to the FX icon above the preview window (any FX applied there is applied to the entire project); or in the track header where every event on that track is affected by the FX.
On the video event itself on the timeline (not at the track or project level) is an FX icon. Use that icon to add the Border FX. In this way, only the selected video event is affected by the FX.
It might be worth your while looking at some webinars created by the Vegas team earlier this year. The first of 4 is on YT at:
The webinars run through the basic and most important functions of Vegas Pro (it was on VP17 at the time as VP18 hadn't yet been released). Each webinar is about 30 minutes in length. The second webinar may be the most useful for you at the moment as it is titled Four Places to Video Effects:
I don't run Vegas but only VMS16P, but as far as I see the Border FX do not care for the png's transparency. It can be done with group and glow (or any color FX) like this
The red arrow shows where the FX needs to be added (click on the FX icon and select the FX from the FX window that opens); and the blue line shows another method of adding an FX to an event on the timeline, and that is simply using the mouse to drag the FX from the Video FX window directly on to the video event.
And just to check, make sure that the FX that you've added elsewhere so far (at track or project level) has been deleted.
The red arrow shows where the FX needs to be added (click on the FX icon and select the FX from the FX window that opens); and the blue line shows another method of adding an FX to an event on the timeline, and that is simply using the mouse to drag the FX from the Video FX window directly on to the video event.
And just to check, make sure that the FX that you've added elsewhere so far (at track or project level) has been deleted.