I am using Kubuntu 20.04, but the question probably also applies to older versions.
When clicking on a .sh file in Dolphin (File Manager), I got a pop-up screen with the following text:
What do you wish to do with this executable file? ☐ Do not ask again Open Execute Cancel
I choose "Execute" and checked "Do not ask again".
How do I undo this, so I get the pop-up screen again?