Ugh, I hate to perform thread necromancy, but I'm having the same issue. I wanted to dabble in scripting, but being unable to test anything is a major roadblock.
On Tools->Run a Local Script, I get the wizard, then the "Choose a valid PlayOnLinux scrip to run" screen. I can select a script, and then get the warning about the invalid signature. It then goes to the "Here [sic] the source code of the script. Check it carefully." screen.
However, on hitting "I Agree" and Next, it closes the window...and does nothing. I've even checked it by copying official install scripts to .bash files and the same thing occurs, with the installer never coming up.
As well, I see mumblings about being able to run local scripts from the console, but I can't find the syntax of how to do so, either on the Wiki or on the forums.
I'm using PoL 4.2.10 on Linux Mint 18 (which uses Ubuntu 16 LTS as its base).