In the Block Borders group you can set the width and color of the borders drawn around the blocks on the three different dimension levels. Block borders are not applicable when the caption style of block charts is used.
But I don't know what is "caption style" of block charts?
In ur screenshot ur using the second style,In that sytle block brodars are in disable ,if u use the first style u can change the border colors and in that u have to remove the tick mark in intermediate level captions.
There is a pretty good implementation of it on a demo called 'Credit Risk Management' .
When you hit the link, hit the 'concentration analysis' tab. You'll notice a colormix function is used to define a color gradient to denote 'problem areas' and draw the users in. There is also a link called 'how to read this chart' which is just a hide/show text box (and a larger mostly white text box) that whites out the rest of the chart.
Not sure if this helps with the caption issue but it may help improve the chart's usage.