We are unable to reproduce the reported problem 'SfComboBox border does not appear'. The Issue doesn't reproduuce in both 'Light' and 'Dark' theme. Please check the below snapshot of SfComboBox and MS ComboBox.
We have attached a sample in which we tried to reproduce the reported issue.If the issue still persists please provide us more information regarding your machine details and Modify the sample to reproduce the issue. So that it will be helpful for us to analyse and provide you acurate solution.
Please find the sample in below link,
Please let us know if you have any queries.