This is a bug/feature request that was submitted to the Ubuntu Launchpad.
https://bugs.launchpad.net/ubuntu/+source/nautilus/+bug/505371


From Launchpad:

Here is a usability problem for users who are new to Linux. This is about what happens for the user, when double-clicking on a file with the .RUN extension (the Sun VirtualBox 3.1.2 Linux additions on Ubuntu 9.10 in my case).

Problem 1 - Terminal auto-closes.
 The user is prompted to 'Run in Terminal', 'Display', 'Cancel', or 'Run'. If the user chooses 'Run in Terminal', but the program requires administrator privileges, the terminal window will close too quickly for the user to ready any messages which may be displayed.

Suggested resolution:
  If the default behaviour was that the terminal window did not automatically close, and required user action to close it, then novice users would be able to read any appropriate messages displayed in the terminal window.

Problem 2: Privelidges:
  The user is prompted to 'Run in Terminal', 'Display', 'Cancel', or 'Run'. If the user chooses 'Run', a new window opens and the script is run, but a message may be displayed indicating that "This Program must be run with administrator privileges. Aborting. Press Return to close this window...". In this case the user's desired action did not occur, and a novice user may not understand why, or what to do about it.

Suggested resolution:
  Expand the user's initial list of options to include something like 'Run with administrative privileges'.

Alternate Resolution(s):
  Change the initial list of options presented to the user when double-clciking a file to the following:
     'display / view', 'run', 'cancel', and 'advanced'.
  Then, have the 'advanced' button activate another dialogue with options such as the following:
     'Run with administrative privileges', 'Run in Terminal', 'Run in Terminal with administrative privileges', etc...