I think Geary would have to be a lot stupider than he already was if he didn't pretty quickly figure out that he'd been set up at Fredo's brothel. Then again, he helped set up Michael at the Senate hearing. As a member of the subcommittee, he had to know that Pentangeli had survived, and that they were secretly holding him in reserve as a witness against Michael. By asking Cicci if he'd ever gotten a direct order from Michael (knowing that Cicci'd say no), he was helping Michael to believe that there was no witness who could connect him to the subcommittee's charges--and that he could perjure himself without fear of prosecution.