Directly in Skript, this can't be done. This is because, as you have noticed, console commands don't work properly for Minecraft commands.

You will need to either use an add-on (I believe SkQuery, MundoSK and Kosmos have effects for this)
You could also use skript-mirror, something like:

Code (Skript):

1. set {_w} to world("world_nether")
2. set {_b} to {_w}.getWorldBorder()
3. {_b}.setSize(10000) #keep in mind this is diameter not radius

The WorldBorder class has a bunch of other methods you can use as well.

 

I tried in both the overworld and nether. As long as I was more than 5(ish) blocks away from the border I took damage. I think there's a buffer.
You can also set the border to move over a specific time, ex:

Code (Skript):

1. {_b}.setSize(10000, 10)

In this example, the border would get to a diameter of 10,000, and it would take 10 seconds to get there

you can also set the damage buffer to be less, ex:

Code (Skript):

1. {_b}.setDamageBuffer(1)

This would mean the player can only be 1 block past the border without taking damage.