If you use "dconf-editor" and go to the path indicated at the top of the following image,
you need to change the toggle next to "Use default value" from "on" to "off", then, as seen in the below when you click on the activated "Custom value" button,
click on the radio-button next to "launch".
That will override the system's "protect the user" behaviour of prompting for any executable script. BTW, doing so is ill advised, and this is coming from someone who does almost everything in a terminal with a root profile active!
P.S. I suspect that you are not running under Ubuntu MATE, based on the "look & feel" of that dialog box, which should look like this (question mark displayed):
@ericmarceau There is another path to that setting in Mate DE v.1.26. I.e. run Caja, invoke Edit > Preferences menu and...
