No, the "build trade network" option won't build a road to the border of another civ ... unless you have a Right of Passage with that civ. In that case it will start building roads to the resources and cities of that civ as well! Basically the worker will consider all territory it is legally allowed to wander onto. And in fact, people have in these forums reported that with an RoP the worker would work on the other civ's terrority even before your own territory was suitably connected. So if you have an RoP with another civ you have a land connection with, don't think about using the "build trade network" command.