There is no command to place a border on a page. However, it is quite easy to
draw a border. Set your margins and then resize the Pages document window so you can see the entire page. Under the view menu, select 'Show Layout' and 'Show Rulers'. Now insert a rectangle or rounded rectangle shape, resize and move it as you like. Open the inspector and select the Graphics tab. Select the background and line colors, etc. Under the Arrange menu, select 'Send Objects to Background' and you'll probably also want to select 'Lock'. You might also want to capture the page (Format > Advanced > Capture) if you intend to make a multi-page document.
Yes, this is a bit more involved than Word but it isn't that big a deal. I've created a template with about 10 different border styles and I pull it out whenever I need it.