This is really a bug in exo-utils package. (Reported Launchpad Bug)
It is an upstream problem with the desktop files which install wrong handlers for the things (that is if you do not use XFCE)...
The "MimeType=" entry in the:
files should become: "X-XFCE-MimeType="
A quick fix for your problem is to change the entry as needed and update your desktop file database.
Changing the entry can be done as root in a terminal this way:
sed -i -e 's/^MimeType=/X-XFCE-MimeType=/' \
I have prepared a package with the fixed bug in my PPA, so you can install it (you may need to wait till it builds btw) (PhobosK's PPA)