This sounds like a known, existing bug: lubuntu-default-settings does not specify the proper command to execute in terminal
That bug report suggests the following workaround (using X-terminal instead.)
In pcmanfm preferences, under the advanced tab, change the terminal to
"x-terminal-emulator -e %s". You can also change the "terminal" value in ~/.config/libfm/libfm.conf.
An alternative workaround I've used before is creating a desktop shortcut - but then you're limited to only being able to double-click on the desktop.
To create a shortcut, you can run the command:
lxshortcut -o ~/Desktop/test.sh
(Where test.sh is the name you want the file to have on the desktop.)
This will open lxshortcut, which will create a .desktop file from your responses in a GUI.
Manually creating a .desktop file should also work.