@eht16 has pointed out the reason you don't see the selection colour, you still have the focus on the find dialog, so the edit pane does not have focus, and Scintilla makes the selection grey when the edit pane is not focused.
There is a fairly new API that allows [changing the unfocused styling](https://www.scintilla.org/ScintillaDoc.html#SC_ELEMENT_SELECTION_INACTIVE_TE...), so I'm not sure its available in the version Geany uses, but when it is "somebody" can add elements to the `filetypes.common` to change it.
In the meantime you will have to focus the edit pane to see the selected style.