It's one of those things where if Geany did that other people would want it to not to. I don't think anyone would be opposed to adding an option to make it do that, perhaps in Prefs->Editor->Indentation (and the equivalent for project settings).
BTW, for languages supported by clang-format (not Python AFAIK), you could use the [code format plugin](http://codebrainz.github.io/code-format/) and configure it to do that when formatting the code.