The builtin terminal in the Messages Window notebook at the bottom (or side in your case), is totally separate, it's a terminal widget builtin to Geany, and has nothing to do with xfce4-terminal or other terminals. The builtin terminal only lets you change the default background and foreground colours using Preferences->Terminal.
How can I determine where the terminal widget is getting it's colors from? `$TERM` from the terminal widget yields `xterm`, and yet the terminal widget does not respect any configuration of xterm, for example from `.Xresources`. It also doesn't get anything from whatever terminal you've configured. VTE3 doesn't have anything for configuring colors that I could find. The `LS_COLORS` environment variable still works at least ... but I'd really like to be able to set colors in a normal config file.
On another note, it's confusing that setting `Preferences->Tools->Terminal` doesn't affect the terminal widget in the message window. Intuitively you'd expect that setting the terminal set everything to do with the terminal (particularly the actual terminal that you see as a user). A tooltip or a more descriptive name would be good.