[Erel]

1. This is the underlying OS control behavior. If Multiline is set to true it is possible to change the height.
2. You can draw the border. Something like:

Sub App_Start
    Form1.Show
    DrawBorder("Label1",cBlack)
End Sub

Sub DrawBorder(label,color)
    x = Control(label).Left-1
    y = Control(label).Top-1
    form1.Line(x,y,x + Control(label).Width+2,y + Control(label).Height + 2,color,b)
End Sub