Linux

It does a lot more than it's told and you know that. Do you think it's not running anything you didn't exicitly tell it to? Did you tell it to install the drivers for your hardware? I doubt it. The job of an OS is to keep your system operating. It handles scheduling and all kinds of stuff. Executing the executable you click on is a small part of it.

And Linux can't? Isn't that the whole thing about Linux and open software is that it can be made to do whatever you want?

Ideally, yes. Whatever you want. Not whatever bad actors want.

Here's a question for you to consider. What is an .exe on Windows? Does that file extension do anything or is it just a string of character tacked on the end that the system assumes is safe to execute? Can it execute other file types? (The answer is the file extension doesn't do anything. The file is data, and any file could be an executable regardless of the extension.)