It seems to me that the CarlaUE4.sh file is not in executable mode.
Check the executable mode of the file by typing the following command in the terminal
ls -l path/to/CarlUE4.sh
If the output looks something like this:
-rw-r--r-- 1 usr 1049089 17222 Jul 1 2020 CarlaUE4.sh
The output is explained as follows:
- rw- file owner can read and write to file, but can't execute
- r-- group file owner can only read the file, and can't neither execute nor write to it
- r-- all other users can only read too
To make the file executable do the following:
chmod +x path\to\CarlaUE4.sh
This will allow all user to execute this file. If you want to allow only certain users/groups to execute the file, refer to this blog post for a more elaborate answer on changing mode of a file