An appimage is basically a bundle of all the required libraries dependencies and the actual application you want to run. Its convinient for the developers since they dont have to package their software for multiple distibutions (debian, arch, suse etc). To have it behave like you are expecting (ie be double clickable to run and searchable) you need to make the file executable (either with chmod or a right click menu if your disto has the option) and create a .desktop file (either manually or using an app like Appimage Launcher)

This may sound complicated but it is pretty easy. Though I find it an unecessary hassle as well. Here is a guide if you : itsfoss.com/use-appimage-linux/