Because of Wine, *.exe can be executed in almost all desktop platforms.
The dialog will open when a script/exe/binary is clicked.
For scripts, it shows "Open" and "Execute" button. Same as before.
For *.exe on Linux/BSD, it shows only "Execute" button, but it actually does "Open with Wine".
For native binary, it shows only "Execute" button. This is a new difference. I think users should never click and run a binary without warning. Here is already a showUntrustedProgramWarning pop up function. But it only popup for binary without execute bit. If you get a binary from *.tar.gz or *.7z, it may already have a execute bit and no popup will be appear.