I'm not sure I quite understand. Would you be able to post some screenshots in regards to what is being described?
John, if you drop a container on the dashboard and then fill it with your three filters you'll have the group. Then rt-click any of the filter bounding boxes and you'll get this menu:
Just in case the link breaks, the menu includes a Select Layout Container. (FYI: Filters/parameters have grey borders, containers have blue borders.) Once you've selected it, rt-click on the layout container bounding box and you'll get this menu:
Select "Format Container". This will display a format option on the far left that looks like this:
Format the border and you'll get something like this:
A bit of work, but you can get that border you want, and not just by accident!