How to border on first level column header only?

Hi BenBlackswan 

You can be a bit sneaky and make the | only appear on the last Quarter. Then using conditional formatting to only format the cells with a | in them.

Measure would be something like this:
. =
IF (
    SELECTEDVALUE ( Sales[SaleDate].[Quarter] ) --For the current quarter
        = CALCULATE (
            MAX ( Sales[SaleDate].[Quarter] ), --is it equal to the max quarter
            ALLSELECTED ( Sales[SaleDate].[Quarter], Sales[SaleDate].[QuarterNo] )
        ),
    "|", --if it is return |
    BLANK () --Otherwise blank
)

Then conditionally format this column like this:

If the cell contains a | return a black background.

Make sure the measure is below your calculation in values.

For the very first column use the grid border

Hope this helps!