I never ran Geany from within the MSYS2 environment but copied `geany.exe`, `libgeany.dll` and if necessary plugin DLLs into an existing normal Geany installation and executed it "natively". This worked well except for debugging.
If you want to go the MSYS2 way, maybe a look in Help->Debug Messages might help what Geany thinks what is its "System plugin path" and what is logged when the Plugin Manager dialog tries to load the plugin DLLs.