@Aravisian So when I run the RPG Maker MV application with Steam it works correctly. If I want to run it using the ".sh" it does not work. Accordingly, also not the file "game.rpgproject" which I would have linked with the "RPG Maker MV.sh".
Do I have perhaps a problem in the execution of .sh files?
But otherwise the tip with the Nemo File Manager the function I would have looked for would have worked quite and there I thank you very much.
On the point of reductionism you raise: I think I can already understand that. Even if I would have this function as a typical Windows user, that doesn't mean that everyone needs it. Nor does it mean that my thought process for running the .sh file is as easy as running an .exe file. I realize that my mother, for example, who only uses Firefox and her Telegram, Facebook, etc. does not need such a thing in principle and also with ZorinOS accordingly for her needs this GUI option may not need. Accordingly, it should not be interpreted as criticism on my part. Basically, ZorinOS does nothing wrong, ask in the community, as in this case helps quite further. Apart from that, you learn a lot about Linux and it's also kind of fun, since Linux or ZorinOS offers a great introduction for Windows users.