I don't know how to set a default border, but just want to confirm you're aware of some possible shortcuts. Once you have sent a message with images with defined borders, right-click the message, Edit as New Message, then open an inserted image (double-click) and change the Image Location, plus any other details of the message. This would also work for new messages with a message template which had 'placeholder' images with borders. While it's not the most elegant solution, copy and paste of images in a message composition window preserves the border attribute if the image is changed..

That is more steps then setting the border imho but thank you for responding.