Comment 2 for bug 652283

This was a deliberate decision by the security team. See https://wiki.ubuntu.com/SecurityTeam/Policies#Execute-Permission%20Bit%20Required

Files with .exe only work with the context menu (open with Wine) if they have execute bit, otherwise cautious launcher spews out its complaints. This behavior is overridden if you have the packages from the Wine PPA (or similar), because cautious launcher isn't very friendly.