I can set a bookmark using the keyboard shortcut control-m, but I can not set it with the mouse.
This is an issue for me when the debugger plugin is active. Left-clicking will cause a red diamond to be displayed in the area where the green plus sign should show, which contradicts what the docs say.
On Geany 1.29.. Debian Stretch and Buster. (I'm working on building the debugger plugin from git and testing it on the latest git version of Geany to see if the behavior is the same)