The legend's outline of the category colors do not change. It only shows the color of an existing event category and these do not take into account the outline.

Solution 1:  Fake an outline: 

Use a small annotation outline with a wide red border and drag it over the legend.

Right click anywhere in the background of the chart.  

Choose Insert Annotation.  

The background is already transparent, so  you only need to make the wording one dot, changing the color of the dot if you want.  

Next, click the outline tab.  

Choose a solid line and increase the weight of it, for example to 1.75 points.  

Choose the color of the line.  Click OK.  

There will be an outline on your chart, allowing you to drag it into position.  Resize and reposition as needed.

Additional Information: 


A disadvantage is you would need to do this each time a chart is created. 

If the chart legend is moved, the little squares would not. You would have to move them into position again.

Save legend portion for re-use:

If you think that you would use this often, you could save the legend portion of the chart. 

Zoom to see the legend up close.  

Edit, copy clipboard shown and paste in your picture editor. Crop as needed and save.  

This picture could be dragged into position as needed.