You can't just run geany from the source tree, it has to be installed by `make install`. Use --prefix on configure to set where (like somewhere in your home, not a system dir) then run it from the bin directory that install created. And use -c to not corrupt your normal config.
If you build geany from git I think it makes the symbols by default, at least it does for me. But most of Geany is a library, so if you refer to symbols in GDB before Geany is started it won't find them as the library is not loaded, just accept making the symbol dependent on a later library and it will set a breakpoint fine.