An advantage of the external (OS) file manager/explorer is that once there, you can open any file there in whichever other program you want (say right-click & open with... or other ways).
Plus, this also can be used as a default fall-back in case you ask the "Open selected file" to open a file that is neither readable by Geany, nor you have specified yet a command in "Preferences -> Tools" to open with: just open the containing directory then.