I am new to xfce so excuse this simple question: I appear to be missing "Run From Terminal" ... of course I can open the terminal and type in the line but I do miss the direct way of running *.sh files.
You can add a custom action for that, I think.
Look at the example one that comes with Thunar (Open Terminal Here) and see if you can make something similar for .sh files.
Or maybe an action (using xterm as an example) like
xterm -e %f
maybe will execute those files.