This is normal behaviour of the GTK toolkit. The focus is on the filename field when the dialog is opened, but moves to the list when a directory there is clicked and when the list is focused typing activates the list search facility. The focus must be returned to the filename field by tabbing or clicking to type in it.

The blue outlining of the filename field is done by your theme, not by Geany, here the field is only outlined in green when it is focused, but it seems your theme leaves it outlined in all states, perhaps it indicates focus in another way?

Once I've browsed to the directory I want, I should able to enter the filename without clicking anywhere. This is the convention that everyone expects. File/folder searching should be the function that requires clicking somewhere.