See if you can find anything under this path in your war3x.mpq:
UI/Glues/MainMenu/MainMenu3d_exp
All the models and blp's for the TFT main menu are in there, I'm not sure if you'll find the borders though. I haven't checked those yet...
(I guess you should also checkout some of the BattleNet folders in the MPQ's, they probably contain some of these chained borders too)
It's cool that there are some pretty useful materials in there as well. Such as: chains, the model for the icemountain etc...
If you could give a screenshot of which borders you mean exactly, it will be easier for me to help with the search.
(if you can't find em you can always recreate the borders from the screenshot ^.^ a little bit of photoshop magic can fix that right up)