It also works with self-built GTK+2 version:
<img width="635" alt="geany_ligatures_gtk2_win32" src="https://user-images.githubusercontent.com/181177/91119936-53bb3400-e649-11ea-8d3d-74d6b4945785.png">
So it appears it was fixed somewhere between GLib v2.60.6 and GLib v2.64.5 given that it doesn't work on the release version from Geany.org and does work with self-built as of today with msys2.
I guess it's probably more the Harfbuzz/Pango versions, but I can't be bothered to track those down.