If your world map is a texture, it would require a material with some parameters(using Lerp) to toggle on/off (0 , 1) the different border and a parameter to change the colours as well.
Inside your bp you would control an enum whether it claimed to x region and set the correct parameter on the material.
If your would map is a top camera view, you will want to place a kind of spline mesh on the level map as border and some function that would control the border properties.
the mesh will need to be shown only by the capture scene camera(there might be other solution as well)