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There's more than one sort of border in that world.
There’s the obvious one, the border between muggle and magic, the one represented by the alley wall behind the Leaky Cauldron, the squared off bricks of the wall between the worlds.
But there’s the other. Longer, darker. Physically marked with the remnant stretches of a much older, more imposing, wall.
It would seem, to the observer, to be obvious. Just as the meadow submitted to the plow, as the tree fell before the axe, the water moved to the orders of the pump, and the rocks crumbled under the hammer – so would the magic of the sowed furrow, the docile beast, the alloyed metal and the twisted fiber overcome the magic of fen and wave and cave, fang and fin and feather.
The Roman mages came with the power of the straight line, the level path. Their advance was fueled with channeled water, lighted with oil behind glass, freshened with sanitary sewers, warmed with wine and spices of a thousand farms. But as they advanced north, further and further from the warm, long-settled heart of Empire, they felt more and more opposition. On that ground, the settled force of farm and market, chamber and paddock, could not stand against the ever-shifting, never-sleeping energies of the wild.
In the end, the magic that defeated Gaul was no match for the magic that overwhelmed the Neanderthals. The Roman mages shrugged and told their generals. The generals cursed and wrote their consuls. The consuls debated and told the Emperor.
The emperor sighed, and mused, and remembered his days on the Danube frontier, and the reports from the wilds of the Hercynian Forest, of mages commanding wolf-headed dragons. The power of the wilds was vast.
"Build me a wall," he ordered. "Twelve feet high you'll make it, so three can march abreast." Three mages, to match the triads of witches the Picts preferred to send, each trio with the wisdom of age, the fury of the mother bear, and the stamina of youth. "Build a wall," he ordered, "Root it in native blood and tears, anchor it with the sweat of our soldiers, and brace it with the gold of our commerce. Then let them try and come."
And they did, and so it held for hundreds of years, until the mages of Rome were recalled home. And in the darkness they left behind, the magic of the wild crept closer, and the abandoned children of both worlds took the stones of the wall back to their hamlets and reworked them into homes, hoping that the magic that remained would help protect them from the rising tide of other people waiting on foreign shores for the chance to show their strength.