To have symbols recognised they need to be recognised by the ctags parser, but I doubt it considers an include a symbol, its not a name in the program.
Some parsers do that I believe, just because it's sometimes convenient to see which includes this file has. It however indeed doesn't make perfect sense in languages where this kind of directive don't also declare a symbol (like C, C++ and all those languages where it merely means "grab that file"), whereas it makes a lot of sense for languages where it declares a kind of namespace (e.g. Python's imports). Anyway, listing include files wouldn't be a problem I think.
Making an include symbol clickable to open the file would then be functionality added in Geany, but somebodys gotta code it.
This is a lot trickier, because in most languages this relies on possibly unknown search paths. It's easy when you have the full path (either relative to the current file or plain absolute), but otherwise it depends a lot on the language and compiler options Geany might not have the slightest knowledge about. Maybe a plugin could actually do that and hook up on the [GtkTreeView](https://developer.gnome.org/gtk3/stable/GtkTreeView.html)%27s [`::row-activated` signal](https://developer.gnome.org/gtk3/stable/GtkTreeView.html#GtkTreeView-row-act...) of the symbols list and do whatever it pleases there. I didn't test, but that might be doable and so it could have any highly-specific logic it wants.