Thanks for letting us know about this! We've just shipped an update to the Zorin OS 16 Beta which addresses the issue with setting .AppImage files as executable.
Now when you double-click on a newly-downloaded .AppImage file (which hasn't been marked as executable), a dialog appears that warns you of the risks of running software from unknown sources. If you click the "Run anyway" button here, it will automatically set the file as executable and proceed to launch the AppImage app.
From this point onward, you'll simply be able to double-click on this .AppImage file to launch the app without seeing this dialog again.
That way, it's much easier for new users to get started using AppImages without needing to know how & why to mark them as executable, while also being informed of the risks of using them.
Regarding the AppImage file icons, it's not currently supported to show the app's icon when displaying the .AppImage file thumbnail in the file browser as it appears that this functionality isn't part of the AppImage specification and file browser implementation. However, you should be able to set any image or icon as the .AppImage file's thumbnail by right-clicking on the file > Properties and clicking on the icon in this dialog to chose the new image.
You can pick any icon from the Zorin icon theme by navigating to
/usr/share/icons/Zorin/48x48@2x/apps in the file picker dialog.