keyboard shortcuts is a configuration functionality that is misplaced on the help menu.
Having found the need to define a shortcut that did not seem possible I was about to submit a feature request and went to the help menu to check the version of Geany that I was using. To my surprise, I found the keyboard config was on help !
This may be better placed on tools menu.
The keyboard configuration is in the preferences (under edit->preferences->keybindings). This makes a lot of sense to me (a lot more than under tools, keybindings aren't tools) -- as you said, it's a configuration thing.
The item in the help menu is (I guess) here to show a list of the existing keybindings as a reminder/cheat sheet. The "edit" button just opens the preferences dialog on the right location.