I may be missing the point here, but if you want the vertical line to be continuous, you need the line to be just inside the bottom of the page header and just inside the top of the page footer.

Another option is to "pad" the cursor/table you are reporting from and then have the vertical line just in the detail band. This works, but you have to figure out how many lines of detail fit on a page and work from there. Let me know if you want more details.