appimage from Dolphin: "launching executables is not allowed in this context"

Nothing is up with Dolphin and the AppImage. It is rather your desktop environment that has some security measures in place. Increasingly, the possibility of running any random file just by just double-clicking in the file manager is being deprecated. It is not allowed from within Dolphin. It is still allowed, however, from the desktop.

Start the AppImage in one of the supported ways. Better yet, create a .desktop launcher for the AppImage so you can start it from the application menu like any other program. Alternatively, a tool AppImageLauncher is available that can automate that process.