To be clear (at least about my understanding, reality may be different :-)
Msys2 software still runs native on windows, so it can't use any facilities that windows doesn't provide, like ptys needed for libvte.
WSL is a full Linux distro running in a VM, so its software runs on Linux, so just about all Linux facilities are available, so a user level application like Geany should run. Speed would depend on the VM and the VGPU.