I have personally never met anyone who had more insight into the awesomeness, as a whole, that Super Game Boy truly is!  So, 
enjoy this knowledge dropping SGB ReadMe, courtesy of the great experience in its greatness, none other than ReyVGM!  I will update
this in future Updates, since he clearly has much to share with us all:)

1) The SGB also has more borders other than that default one (the Super Game Boy 2 has more), and they even animate if you don't touch 
the controller for a few minutes. I really doubt this is something that could be simulated/emulated without actually emulating the SGB
device though.

2) If you put a transparent cart GBC game (the ones that are GBC-only) on a mono GB or a SGB, you would get an error message. Some of those
messages are actually pretty cool: http://www.vgmuseum.com/features/warn

3) If you load, let's say, Metroid 2 on a real Super Game Boy, you'll notice it has a a different default color palette (it uses the 4-G
palette). But how could that be if Metroid 2 was released 3 years before the SGB even came out? Well, the SGB device actually came with
predetermined color palettes programmed in for many of Nintendo's own GB games. You can see the list
here: https://tcrf.net/Notes:Super_Game_Boy#Game_Boy_Internal_Name_Table

Of course, unless you emulate the SGB through BSNES, there will be no way of enabling those color palettes for those old GB games because
the actual code is not in the games (unlike SGB enhanced games that do have the enhancements in their code). It would have to be simulated.

So, in retroarch's case, if I play Metroid 2 in SGB mode, all I would get is the border, but the game would still be in black and white, 
but on the real SGB the game would be colored by default.

I know there are some GB emulators that allow you to modify the palette (I know VBA does). So if real SGB emulation is never possible, is
a way to load custom palettes for GB games through the SGB core a possibility? For example, have the default 1-A palette load for every
game, but if you load Metroid 2 it would load the 4-G palette.

Contra Alien wars came out after the SGB. It has native SGB support (minus the border). My guess is that the devs probably didn't have time 
to implement one, or maybe didn't care about it. Zelda Link's Awakening does not have a border, but Link's Awakening DX (the GBC release) 
does and it is coded into the game.

The SGB itself never had any borders for specific games. The SGB has its own borders that are used when playing games that don't have 
borders (so, pretty much every game released before the SGB). Any game with custom borders has it coded inside the actual game, which is
why you can see the borders in regular GB emulators without the need of emulating the real SGB device.

Not sure if you are aware, but there are two types of GBC games: the ones that came out in Black cartridges, and could be played in both
a mono GB and a Color GB, and some of those also had SGB support with borders and custom color palettes. And there were the Transparent 
cartridges, those were GBC-only and could not be played on a SGB.

Blaster Master Enemy Below is a black cartridge GBC game. If you play it on a Game Boy, you would get a black & white game. If you play
it on a Super Game Boy, you would get a border (in the USA/Euro version only) and a limited reddish/orange palette. If you play it on a 
Game Boy Color, then you get the full color game, but no border because GBC mode does not work on the SGB.

That option emulators have that let you play the GBC game in color with borders on, that option is impossible with a real Super Game Boy.

Just to be clear, any black cartridge GBC game you play on a SGB will play either in black and white mode (if it doesn't have SGB support),
or it will play with a limited palette and a border (if it has SGB support). The only way to play in full color is with a GBC, and you would 
never ever get a border that way.

PC emus, at least some versions of VBA, allow you to play the GBC games that have SGB support in full color with the borders showing.
Mind you, this set up is impossible in a real SGB.

However, I noticed a bug in those VBA versions. Well, I don't know if it's a bug or simply a limitation of doing something the real 
game/hardware isn't be able to do.

Some games have multiple custom borders, for example, Dragon Quest 1&2. There's a border for the town, for a cave, for a castle, for 
the overworld, etc. Now, if you enable that option of playing GBC games in Color with the borders enabled, then only the initial custom 
border will load and it will never switch to the other ones.

So, if you enable this option in retroarch, it's possible you'll encounter the same issue too.