I wholeheartedly agree with you in regards to general lack in UX quality and lack of introduction for new users.
I have mived to use Linux exclusively for about 5 years now and whenever a teammember at work tries it, I have to give advice about once a day because of some cryptic info that has accumulated in my head and they couldn’t find through a 20minute internet search, to solve an endless stream of tiny issues.
It is an OS that I definitely could never recommend to people like my parents, which are by no means tech illiterate.
In regards to the specific point of launching .sh files:
On KDE Plasma I can double click sh files and a popup shows asking me whether I want to execute the program or edit the file in a text editor.