So i guess they achieved those dividing while lines by setting the base background white, and then positioning the videos to leave some of the white background showing inbetween, acting as a border.
The white border effect you're looking for can be accomplished several ways. Two that come to mind right away are:
1. Use a graphics program to create your borders with an alpha channel, then import it into Vegas. Just be sure your graphics program canvas is set for 16:9 so nothing gets distorted in Vegas;
2. This is how I'd probably tackle this. Create a couple full-screen white screens, then use pan/crop to form your lines on separate video tracks. One track is for your vertical line and the other track is for your horizontal line.