i think this is Unity's fault. it doesn't set the x-bit on the executable, which would tell the system that it's okay to execute the file.
if you haven't already, extract the archive.
most gui file managers have an interface for the read-/write-/executeable bits in the file's properties dialog, which is probably reachable by rightclicking the file. the two i have installed (Thunar & Pcmanfm) have a "Permissions" tab. there should be a checkbox or a some other gui element about execution or execute.
the ultimate solution for any Linux distribution: open the directory in a terminal emulator and run "chmod +x NSaFN*.x86_64". ('*' wildcard so it's valid for future versions.)