Is it possible to have a border around each icon in a toolbar?
No, not when the buttons are not pushed or activated, anyway. You'd have to draw the border into the graphics, but then they'd look strange when they were pushed.
It's a pity, because if you have a toolbar with different programm-icons for example it would look more tidy.
What you think, is it worth reporting a feature request?
Sure, if you want it ask for it. Adding it to the request database can only increase the chances of it being implemented.