I've noticed that ServerFault and, recently, SuperUser use borders around the tag buttons, on the questions. I think they get more polished like that. but why don't StackOverflow and Meta StackOverflow also follow this pattern? it'd be more consistent, I believe.
It's just a matter of styling via the CSS. Jeff et al obviously thought that the SU style looked better within the context of that site.
There have been some subtle changes to the styles here, so it's not beyond possibility that the the tag style could get updated.
You could always make it a formal request. Or I'm sure that someone will be along with a GreaseMonkey script in due course.