Running the same grep binary from the command line produces the same warnings.
After reading http://mingw-users.1079350.n2.nabble.com/Building-GREP-td7582694.html and http://debbugs.gnu.org/cgi/bugreport.cgi?bug=16444 it seems to be a grep issue which is unlikely to be fixed (according to #16444).
We could apply http://download.geany.org/snapshots/grep-2.25-win64_sameinode.patch which eliminates the warnings. This patch is from the first link. For testing, I just build grep-2.25 with the mentioned patch, the binary is at http://download.geany.org/snapshots/grep-2.25_sameinode_patch.exe (rename to grep.exe and copy it into bin/ in your Geany installation directory).
@ All: do we want to patch our self-compiled grep binary? The warnings are just warnings, i.e. grep still finds the desired results. Still the warnings can be quite annoying.