I always want the wallpaper to fill the screen, but that is a persoanl preference. Whatever desktop icons I did have I moved into a couple of Fences.
Haveing said the above I can see where if you don't use Fences then a border (color the compliments the wall) would make it easier to see desktop Icons.
Here is something you might try also that would give you some added flexibility in the size of the boders. Try setting a solid color up as your wallpaper, then open up a DX Object like the Core Picture Frame, grab any wall you want and then you can size it for how large you want your borders.