What exact kind of border do youu need? Not size, but look. There are a few ways to do it. You could easily add a new video track below your cropped event track. Add a solid color media (or gradient) to track 2 and then use PanCrop, Track Motion or 3D LE to resize that new color event to be the border of your top track. Many possibilities for colors, feathering, etc. Yopu can also add another new track above track 1 and 3 and use it as a Parent to now control your cropped event with its border event as Children.
You could also add that new track on top instead and use Gradient Generated media to form a frame by adjusting its colors and points. Try the stock Rectrangular Transparent to Black Gradient. Add another outside point and make its color pure transparent. Change the black if needed. Learn how to use these Gen Media tools. They do more than what Vegas provided as defaults.
The Cookie cutter and Border FX has limitations as you have seen.
What I am trying to do is have one to several cropped pieces of video (with a .02 black border) scroll over a gray background. I want the cropped shape to be a narrow rectangle. I am worried that if I do it manually, as you propose, I won't be able to synch the scrolling of the video and the border. Do you know a way to ensure that I do?
http://www.dvformat.com/articles/viewarticle.jsp?id=28848 might help you a little.
You could also build masks and assign video to each mask. On the VASST site, there are two floating boxes veg files to download, you might want to check those out. One from DSE, and one from Buster. Both seem like they'd work for you.
What I would do then, is use a track for each cropped video event. Place your event on a track, open pancrop and crop as needed. Now go to the tracke header and use Track Motion with keyframing to move (scroll) and sizing as needed. Use Track Motion Glow to add your black border which easily stays in sync. Set Glow blur to zero and set the size as needed. Easy to set up and any crop aspect you desire.
There are many ways to go about doing things in Vegas. Some may be easier and some may require more setup. My way I just described is easy, but requires separate tracks. You also can use keyframes at the start of each new event to reset parameters as needed.and then keep all the events on one track using one Track Motion with individual pancrops.
It's always a compromise in Vegas because it is mainly a track type program. It seems that we should be able to just apply border FX to any event that is cropped, but until then we have to use workarounds.