Sure the filebrowser plugin is distributed with Geany by default, but its still a plugin, it still obeys the same rules as any other plugin, which is that plugins can do things using Geany, but Geany has no way of knowing how to do things using a plugin. All Geany knows about plugins is how to load and unload them, everything else is done by the plugin.
I'm not sure parts of text messages can be made clickable, and what would it do if it was clickable, it can't open in a plugin because Geany knows nothing about plugins remember, and since the error message is logged from deep within the file open code its not something a plugin could modify.