He didn't know he was being set up at the time. He was drugged, passed out, Neri killed the hooker, and Tom showed up. Geary, groggy, guilty and panicky, still wasn't thinking clearly when Tom made his offer: the girl had no family, nobody knew she worked there, he was putting in a call to Geary's office to establish an "alibi" for Geary--he was spending the night at Michael's home in Tahoe. Once Geary agreed to that, his coglioniwere in Michael's pocket. Once the drug left his system and his head cleared, Geary probably figured out that he'd been set up. But by that time it was too late for him to backtrack.

I've posted elsehwhere that he probably tried to get back at Michael at the Senate hearing. As a member of the committee, Geary had to have known that they were holding Frankie as a surprise witness against Michael. His questioning of Cicci ("Did you ever get a direct order from him or were there always buffers?"), and Cicci's answer ("No, I never talked to him."), were designed to make Michael think that it'd be ok for him to lie under oath.