My mosaic border on my bathroom did have a slight overhang - but it was only a few mm's. depending on the style - as you can see in mine I think it suits it.
I think this is just personal preferance, sometimes I think having the border sitting proud adds effect, sometimes it just doesn't look right, my advice would be if your happy with it go ahead, if not try some of the above
this happens more often with people buying 8mm ceramics or porcelain tiles and 12 mm travertine/stone mosaic sheets and wanting them cut up as borders,if you haven't already started then i would use 2 depths of trowel to compensate but i've been asked to have them proud before and they still look fine
If you do leave them proud just be aware that should you fit a shower screen etc in the future you could come across problems as the fittings wont sit flat against the wall. There are ways to get around this but some can seem a 2nd class job.
As Dave already mentioned chrome pencil bars/listelos are a great way to make any discrepancies with flatness more subtle as these have a curve on them that protutrudes beyong the tile anyway.
everyone who see's a nice tiling job stands back admires then does the touchy thingy thing, on wall's anyway (or is that just me).......place the tile to be fixed and the border on a flat surface then determine the the discrepancy. if it feels nice fix it, or make pre adjustments to make good.