@Carighan that desktop settings menu is setting a _Windows_ theme.
Geany is a portable GTK application and the GTK toolkit uses its own themes. Unlike Linux and BSD, Windows does not set the GTK theme so it has to be done separately. The FAQ https://www.geany.org/documentation/faq/#how-to-change-the-gtk-theme explains how to change it on platforms that do not do so automatically.