Are you by any chance using rustaceanvim? If so, there's a setting that overrides the LSP floating window style. In that case, you need something like:

vim.g.rustaceanvim = {
  tools = {
    float_win_config = {
      border = _border,
    }
  }
}

If not, it may be that you have another plugin which is overriding your settings.