My version of Microsoft Excel for Mac is identical to yours. I was able to reproduce your example without difficulty. However, my process (based on your example) is as follows:
1: Reproduce your original table, but with no borders
2. Using the Format Cells command/Border tab, add a blue border around cells C1, C2, D1, and D2 as in your example's Step 1.

3. Using the Format Cells command/Border tab, expand the outside border from the original four cells (C1:D2) to 10 cells (A1:E2) and change the color of the outside border from a thick blue line to a thick red line, per your example's Step 2.

4. Using the Format Cells command/Border tab, expand the outside border from the previous ten cells (A1:E2) to 18 cells (A1:F3) keeping the thick red line for the outside border
AND adding a thin Automatic-colored line for the interior border.

5. Using the Format Cells command/Border tab, change the color of the outside border from a thick red line back to a thick blue line
AND change the interior lines (both vertical and horizontal) to a medium green line.
As a result, all of the borders have vanished!
