Did you notice that the file chooser native has two problems:
1. its GTK4, not GTK3 which is used by Geany 2. its deprecated
Geany used to have support for native windows dialogs but it was removed as it caused crashes in some situations and nobody supported it.
Its a moot point if Geany "should" use native dialogs, its not a native application, it is a GTK application. Whether GTK itself makes its dialogs and its keybindings more native on various platforms, thats something that needs to be taken up with GTK.