There are different paragraph styles for instrument change labels and instrument change warnings. You can change different aspects of these paragraph styles in the Paragraph Styles dialog, such as hiding/showing borders for each type of label.
By default, borders are shown on instrument change labels but not shown on instrument change warnings.
The following paragraph styles are used for instrument change labels:
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Instrument Change Warnings: Used for warning labels before instrument changes
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Instrument Change Labels: Used for labels after instrument changes