The fix.
By default, Dolphin shows these options after double-clicking on a desktop file:

Most likely you have at some point checked the "Do not ask again" box and then chose "Open" instead of "Execute", possibly for ease of editing executable shell scripts.
You can undo this behavior with this command:
kwriteconfig5 --file kiorc --group 'Executable scripts' --key 'behaviourOnLaunch' 'alwaysAsk'
or graphically by following these steps:
Open Dolphin.
Go to "Settings" → "Configure Dolphin..."
Select the "General" section.
Click the "Confirmations" tab.
Enable the "Executing scripts or desktop files" setting under the "Ask for confirmation in all KDE applications when:" section.
Press "OK" or "Apply".

Now when you open the desktop file,
select "Execute" instead of "Open".
The explanation.
As to why this happens:
look at this file:
/usr/share/applications/panel-desktop-handler.desktop
from the xfce4-panel package:
[Desktop Entry]
Type=Application
Name=Create Launcher on the panel
# ...
Comment=Add a new launcher to the panel based on the information of this desktop file
# ...
Exec=xfce4-panel --add=launcher %u
Icon=application-x-executable
Terminal=false
NoDisplay=true
StartupNotify=false
MimeType=application/x-desktop;
Notice in particular the MimeType=application/x-desktop line.
As mentioned in the comments,
you have the XFCE desktop installed alongside KDE Plasma,
so evidently panel-desktop-handler.desktop
is the default handler for the application/x-desktop mimetype.
You can see this from the command line via e.g.
ktraderclient5 --mimetype 'application/x-desktop'
or you can also view it within dolphin under "File Type Options" → "Application Preference Order".
Related questions.