This specifically probably isn't the problem (though I have run into this problem myself). Dolphin probably isn't installed as an AppImage (the thought of a distribution doing this makes me very distraught), and if the application trying to run Dolphin is already working otherwise, then the executable bit isn't what's stopping it.

but... AppImage (along with FlatPak and some other distro-agnostic package formats) often run in a somewhat sandboxed environment. This is good in theory, but these applications could often end up blind to certain configuration files, environment variables, and settings you've changed on your system, and do weird things as a result. I highly recommend not using these if the same package is included in the distribution. In my experience, the 'Software' application on Fedora mixes in the distribution packages and random AppImages in the search results and makes it very easy to install an AppImage when one isn't needed. The same may be true in Ubuntu (I haven't used it in a long time).

I still use AppImages here and there. There's nothing wrong with them. They just tend to be a "one size fits all" solution when there often are also "I'm running this specific setup and this package was made exactly for my setup" solutions available. This is especially noticeable on some distributions where the distributors go through great lengths integrating software, rather then just building it with the default settings and including the default configs. Debian (which Ubuntu is based on) notably does this, but since Ubuntu kind of became the "default" commercially supported distro, this doesn't get exposed much. Gentoo also does this, while ArchLinux notably makes very few changes to the software they package, leaving this as an exercise for the user. Other distributions fall in various places on the spectrum.