Kali Linux VM: Permission denied to run shell script, as root

It might be that the /media/cdrom0 filesystem has the noexec flag set. You can check this with:

mount -v | grep cdrom0

If there is noexec between the parentheses, files on the filesystem are not executable. (like (noexec,nosuid,nodev))

You can try remounting the filesystem with the exec flag:

sudo mount -o remount,exec,ro /media/cdrom0

note ro to indicate readonly.

Alternatively you can copy all files to disk and run the scripts from there.