There are no controls over the border of the header or footer, there is always a border.
If you have a usecase for headers/footers without borders I would suggest submitting an idea to the Creo Ideas site:
https://community.ptc.com/t5/Addtl-Creo-Ideas-Creo-View/idb-p/creogeneralideas
We monitor the site for ideas related to Creo Illustrate.
