The border depends on 'encoding' and 'ambiwidth'. From the docs:
By default a double line is used all around when 'encoding' is "utf-8" and
'ambiwidth' is "single", otherwise ASCII characters are used.
In your case ASCII characters are used.
If you programmed the popup yourself, see :h popup and search for borderchars.
BTW: I don't think that fzf is ...
Your example is trying to mimic popup menu by popup window, it's complicate, I changed it to use arrow keys to scroll popup window in normal mode, it's only purpose is to show you how to change cursor in popup window:
noremap <buffer> <down> :call Omni_cursor(1)<CR>
noremap <buffer> <up> :call Omni_cursor(0)<CR>
The highlight group used to style the current argument is called YCMInverse, since its default is to reverse foreground and background colors.
Its default is defined here as:
hi default YCMInverse term=reverse cterm=reverse gui=reverse
Since it's defined using hi default, you can override it by setting your own from your vimrc.
For example, to highlight ...