Basically the Border hasn't moved significantly, if at all, since the Union of the Crowns in 1603 so if you have found it in Scotland, it's almost certainly still in Scotland. (Berwick-upon-Tweed last moved from Scotland to England in 1482.)
The Bruntshiel between Caulside and Langholm is in Dumfries-shire, not in Roxburghshire, so if you are looking for a place of that name in Roxburghshire, it's the wrong place.
Bruntshiel(d)(s)/Burntshiel(d)(s) occurs in various parts of Scotland. In particular it occurs in the parishes of Canonbie and Tinwald in Dumfries-shire and in the parishes of Cavers and Teviothead in Roxburghshire. However these are from the Ordnance Survey Name Books compiled around 1850, and it may be that the one you are looking for had disappeared before then.
See
https://www.rootschat.com/forum/index.php?topic=758930.0So if you wish to identify the Burntshiels you are looking for, please state where you came across the place name:
type of record,
year of record, and, most important of all
which parish it is in. Also useful to state any other information in the original records, especially names of people mentioned.
Parish of Canonbie, Dumfries-shire
https://www.geograph.org.uk/gridref/NY4082Parish of Tinwald, Dumfries-shire
https://www.geograph.org.uk/gridref/NY0283Parishes of Cavers and Teviothead, Roxburghshire
https://www.geograph.org.uk/gridref/NT4701 (the burn forms the boundary between the two parishes)
I have yet to find the one in the parish of Castleton on any map.