The highlighting lexer comes from a different project [Scintilla](www.scintilla.org) and doesn't know about settings in `filetypes.python`. The settings in `filetypes.python` are only used by the various comment insert functions in Geany.
If the Python lexer makes multi-line strings a different syntax entity to single quote strings you can adjust the colour scheme to show them differently, otherwise you will need to teach the lexer in Scintilla to parse them as different entities.