It is not a permission problem.
The file do have permission to be executed as a program and you can run it from terminal using ./gdevelop and also by treat it as a shell script as I explained above.
Good finding, seems that there is no obvious solution… unless maybe switching to AppImage for distribution?
Would I think make things simple for most users.
AppImage would be nice and easy for sure, if not that could include at least a shell script called Launch.sh that launch gd by executing a terminal command.
For those who don’t know what a shell script is and the script open in a text editor maybe and don’t run, could include a comment in the script explaining they need to allow shell scripts to be execute in the file browser preferences or open the folder in terminal and use ./gdevelop command to launch GD. I mean, if someone choose to use or develop for Linux, they need to get comfortable with launching staff from terminal and using shell scripts anyway so a shell script should be fine imo