You should just need to make sure the check mark is against 'Show Message Window' in the View menu:

However, even if you have this selected you might not see the message window at the bottom of the screen and may need to pull it up with the mouse. After that you should see this at the bottom of the Geany main screen:

If you still can't get the desired result, also check menu > edit > preferences > interface and look at the options there regarding the 'Message window', not the sidebar. You can choose between showing the 'Message window', which includes the terminal window, at the bottom or on the right:
