Although the OP has "no reasons for me to start Geany from the command line" clearly others do, or the locking problem would not have been noticed and the SF bug would not have been raised.
I don't know how Windows does it, but the same problem would happen if the default working directory is the one containing the file to open (e.g. if the WD is `C:\A\B` when opening file `C:\A\B\c`), which wouldn't seem particularly silly to me.
Anyway having discovered the setting at point 3 exists, @iahung3 that looks like a solution for you, set it somewhere that you find useful, note it is an absolute path.
Alternatively *if* Windowsers agree, we possibly could try and default the open/save dialogs to [`g_get_home_dir()`](https://docs.gtk.org/glib/func.get_home_dir.html) on Windows I guess.