I forget exactly where it was stated, possibly in some brief
@OneirosTheWriter reply, but I vaguely remember that there is a distinction between the KBZ/CBZ and the RBZ. The Romulan Neutral Zone is a specific treaty-defined area of space and will never shift without renegotiation of the treaty. The Cardassian and Klingon border zones are much more fluid things where the whole point is to exclude foreign ships from member world territory. So if the Caldonians joined the Federation, or even became close enough affiliates to get their own key system, they would not be in the KBZ.
Possibly they might end in Andor sector rather than their own sector though.