Not sure if its the right way to do so but I can tell you how I do it.
Wrap the panel you want to have a background in an Overlay and use a blank texture to fill the area with and then you can use the controls to set the color.
If you want to have borders (that are not textures) you can also wrap for example the “Mouse Sensitivity” box in an overlay and give it a background, then use the padding to visually separate them.
Ive never figured out how the border widget is supposed to work, like literally nothing I did ever gave me a border.