You can close your shape on page break if you run it through the whole design page and close it somewhere in the page footer. This way, it will surround the whole page - even if your group ends somewhere in the middle. Don't know if that's what you want.
Alternatively, you can draw 2 shapes that overlay each other on the top, but end in different places (one at the end of the group, another in the page footer. Then think of criteria and use Print-When condition to manipulate them.
But I got to say, I almost never use whole rectangle shapes in my reports. I use vertical and horizontal lines to build my own. They close wherever and whenever I want, can have different pen size and style on all sides, and whole lot of other benefits. When you get a hang of it, they are not too much of a hassle, either.
I just put vertical line bits (not whole lines through the whole report design page!) on both sides of each band that needs them, and make them connect using Layout toolbar. (It might take you a preview or two initially, to get a sense of where to start and finish them.) Then I put my horizontals at the end of each band that needs to close with it. In some reports, I put it after each detail line, but use Print-When to make it print only every 5 or 10 lines. Same thing can be done with the line in the page footer (only print when you need it). That's all to it. The only issue you might face is to stretch your vertical bits when you stretch your bands.
I must note that I use VFP6, and as far as I know, the Report Designer didn't change much through VFP8. There are some significant changes in the Report Designer in VFP9, but I cannot advise you on those. But even though it might have what you want already built in, the method I described will still work.
