The border colour is set to the background colour in photoshop, so if you set that to red then the border will be red.
The border is created by increasing the canvas size, if you expand the action and double click on "canvas size" then you can change the amount it is increased by. It's done twice, once for the plain coloured border and once for the blurred one. If you make them larger you may have to change the transform bit of it so that it still fills the canvas when expanded. Not very easy really but I've never wanted to change it
