Well as I said births are often unrecorded in the parish registers.
But so are marriages, especially if a couple married irregularly. You might find them in the kirk session minutes, but they're unindexed, and you'd need to narrow down to specific parishes to check.
If the 1841 Oswald is your chap this looks like his parents in 1851, with precise birthplaces:
https://scottishindexes.com/51transcript.aspx?houseid=74701005I can't see any obvious sign of them in 1861, so it's possibly they'd died by then. Or might be in England.
This + the 1841 info should give you more clues to follow up.
But again you should look for your great granddad in later census returns, to be sure his birthplace looks like Duns.