Based on your code I'd say that the selection is lost when you set the borders. Because of that there's nothing to paste when you hit the PasteSpecial call.
Instead of
With Selection
.Borders.LineStyle = xlContinuous
.Value = cb.Caption
.PasteSpecial Paste:=xlFormats
End With
try what happens with
With Selection
.PasteSpecial Paste:=xlFormats
.Borders.LineStyle = xlContinuous
.Value = cb.Caption
End With