You can make this border anything you like by handling QueryCellInfo, and in the handler if e.ColIndex points to your frozen column, then set e.Style.Border.Right = new GridBorder(....); to have teh border you want to see.
private void gridControl1_QueryCellInfo(object sender, GridQueryCellInfoEventArgs e)
{
if(e.ColIndex == this.gridControl1.Cols.FrozenCount&& e.RowIndex > 0)
{
e.Style.Borders.Right = new GridBorder(GridBorderStyle.Dotted, SystemColors.ActiveCaption);//, GridBorderWeight.Thin);
}
}