Hmm. That should work fine.
Ok, I missed your pic earlier.
So, from my instructions here: How to run EXEs with Wine, without getting the confirmation screen ?? - #4 by carmar
When you right click on the EXE file you get a menu, at the bottom is Properties, when you left click on Properties, you get a window with one tab being Open With?
Another way to that is Right click EXE —> Open With (second choice from top) -> Other Application -> select Wine Windows Program Loader
I’m using Nemo instead of Nautilus/Thunar but the menus will be about the same.