I want to set MicroStation to highlight the point cloud making the edge turn red at the edge of the section cutting plane.

As shown in the image below:

Highlighting the cutting edge of the clip volume

Go to the View tab on the Ribbon and select Volume Clip. In the Define Clip Plane dialogue select one of the tools highlighted in the image below to clip your point cloud:
 

There are a few settings that must be enabled:

• 
  Select your clipping plane and then select View Attributes (top left of view window)
  In the clip volume settings enable "Cut" and select the button with the 3 dots to the right to open the display style dialogue

• 
   
  In the Display Style dialogue in the left-hand column select "Cut"
  On the right-hand side under Override set the element colour to red (or your desired colour) and give it a lineweight.

•  
  Finally select your clipping plane and go to Element Properties

In the Geometry section go to Point Cloud and select your desired tolerance
The section Edge should now be highlighted.