Hi Daniel,
Unfortunately, you can only format individual pie slices. Border applied to one slice can't be automatically applied to all slices without manually doing the borders for each slice.
You may post this as an Enhancement Request at http://ideas.sap.com and post the back the URL here so that others interested in the feature can Vote for the Idea.
P.S: As a workaround, you can create a Pie Chart with as many pie slices as possible, insert a border for each slice and save the chart as a Template. In your original report, you can then right-click the chart and select Load Template and select the template file you saved. This will insert borders and apply any formatting that you might have additionally done to the template on the original chart.
-Abhilash
