How do i make the inner cell border colour different to the outer

I would like blue border around the entire table and ONLY have the inner borders between the headings white.

An effect and technique easy (-ish) to achieve in Word, not so easy in InDesign. ID just doesn't have the "painting" tools that Word and equivalents do. As the other answers note, you can usually get there, or close, but it all comes down to how ID stacks the table elements. AFAIK, it uses an HTML/CSS-like approach in which cells (td and th) stack on rows (tr) which stack on the table defintion. Not sure that's helpful, or even useful, but it might point to the right choices in the order of formatting a complex table.

Hi @Michael248777270phx , It is scriptable. This would change the right cell border of the top right cell to match its top border:

fixTable(app.activeDocument.selection[0])

function fixTable(s){
    while (s.constructor.name != "Application") {
        s = s.parent;
        if (s.constructor.name == "Table") {
            s.columns[-1].cells[0].rightEdgeStrokeColor = s.columns[-1].cells[0].topEdgeStrokeColor
        }
    }
}

Before and after:

A second thought: It probably could be scripted if you had that ability (I don't). Scripts can be set up to be applied with a shortcut.