It appears as though it only uses the horizontal radius for each corner.
I also suspect that the same issue is true of BackgroundFill's use of CornerRadii

    @Override public void start(Stage stage) throws IOException {

        Region region = new Region();
        region.setBorder(new Border(
                new BorderStroke(
                        Color.RED,
                        BorderStrokeStyle.SOLID,
                        new CornerRadii(30, 10, 10, 30, 40, 20, 20, 40, false, false, false, false, false, false, false, false),
                        BorderWidths.DEFAULT))
        );
        StackPane root = new StackPane(region);
        Scene scene = new Scene(root, 300, 250);
        stage.setScene(scene);
        stage.show();
    }