You can box the content with \fbox. To ensure vertical alignment doesn't change

\documentclass{article}
\usepackage{booktabs,siunitx}
\newcommand{\boxnum}[2][table-format=2.1]{\smash{\fbox{\vphantom{#2}\tablenum[#1]{#2}}}}
\begin{document}
\begin{tabular}{ c *{3}{S[table-format=2.1]} }
\toprule
\multicolumn{2}{c}{\textbf{Train}} & \multicolumn{2}{c}{\textbf{Test}} \\
\cmidrule(r){1-2} \cmidrule(l){3-4}
{\textbf{A}} & {\textbf{\# D}} & {\textbf{\# E}} & {\textbf{\# E}} \\
\midrule
B & \multicolumn{1}{c}{\boxnum{9.6}} & 62.8 & 62.8 \\
C & 12.0 & 78.9 & \multicolumn{1}{c}{\boxnum{62.8}} \\
C & 12.0 & \multicolumn{1}{c}{\boxnum{78.9}} & 62.8 \\
\bottomrule
\end{tabular}
\end{document}
You can also use tabular rules to frame an element:

\documentclass{article}
\usepackage{booktabs,siunitx}
\begin{document}
\begin{tabular}{ c *{3}{S[table-format=2.1]} }
\toprule
\multicolumn{2}{c}{\textbf{Train}} & \multicolumn{2}{c}{\textbf{Test}} \\
\cmidrule(r){1-2} \cmidrule(l){3-4}
{\textbf{A}} & {\textbf{\# D}} & {\textbf{\# E}} & {\textbf{\# E}} \\
\midrule
\cline{2-2}
B & \multicolumn{1}{|c|}{\tablenum[table-format=2.1]{9.6}} & 62.8 & 62.8 \\
\cline{2-2}
C & 12.0 & 78.9 & 62.8 \\
\cline{4-4}
C & 12.0 & 78.9 & \multicolumn{1}{|c|}{62.8} \\
\cline{4-4}
\bottomrule
\end{tabular}
\end{document}
Related: Highlight elements in the matrix
\renewcommand\arraystretch{1.2}. tank you very much for point. – Zarko Oct 13 '17 at 22:39