Well, I'll be damned... I used to send it to myself using WhatsApp web, then I just open the same chat on my phone, download the file and click it again to execute.

I tried a different method (thanks, @CommonsWare), just plugging the phone and using the file explorer and it works.

My best guess is that my PC does something to the file when sending it through WhatsApp web. Something that my work PC does not do for some reason.

Dark magic!