To enable executing scripts directly from the desktop or Thunar, you'll need to change the hidden settings. This appears to only work on Thunar 1.6.6 or higher.
1. Open a terminal and run the following command:
xfconf-query --channel thunar --property /misc-exec-shell-scripts-by-default --create --type bool --set true
You can review the available hidden settings here. To view your current Xfce and Thunar settings, there is a Settings Editor accessible from the desktop in most distributions (or just run xfce4-settings-editor from a terminal).
Tested on Xubuntu 16.04.1(Thunar 1.6.10) - your mileage may vary.