I had an issue for which I posted on the xfce forums, and the kind moderator ToZ there helped me a lot. In the end though, he suggested posting here, as this might very well be a Thunar issue. Relevant discussion is here:

https://forum.xfce.org/viewtopic.php?pid=46397

In short:
"I am currently using Winamp 2.95 through Wine, and while it worked beautifully for months, something suddenly changed. Double-clicking a m3u playlist file does nothing anymore, but right-clicking it and selecting the default action works just as expected. I have tried resetting the default "open with" application, using a custom command, reinstalling Winamp and removing/setting back its file associations, but to no avail. I'm running 64-bit Linux Lite 3.6, Thunar 1.6.11-0ubuntu0.16.04.2 and xfce 4.12." The solution to my problem was that the file was marked as executable, and changing it to non-executable made it work.

Some command outputs that might be relevant:

francois@SilentPC:~/Desktop$ xdg-mime query filetype Rock.m3u
audio/x-mpegurl
francois@SilentPC:~/Desktop$ xdg-mime query default audio/x-mpegurl
wine-extension-miz.desktop
francois@SilentPC:~/Desktop$ xdg-mime query default $(xdg-mime query filetype Rock.m3u)
wine-extension-miz.desktop

francois@SilentPC:~/Desktop$ cat $(locate wine-extension-miz.desktop)
[Desktop Entry]
Type=Application
Name=Winamp
MimeType=application/x-wine-extension-miz;
Exec=env WINEPREFIX="/home/francois/.wine" wine start /ProgIDOpen Winamp.File %f
NoDisplay=true
StartupNotify=true
Icon=F465_winamp.0

francois@SilentPC:~/Desktop$ xfconf-query -c thunar -lv
/last-details-view-column-widths     50,130,50,50,501,50,50,64,53
/last-details-view-zoom-level        THUNAR_ZOOM_LEVEL_SMALLER
/last-icon-view-zoom-level           THUNAR_ZOOM_LEVEL_NORMAL
/last-separator-position             172
/last-show-hidden                    true
/last-sort-column                    THUNAR_COLUMN_NAME
/last-sort-order                     GTK_SORT_ASCENDING
/last-view                           ThunarCompactView
/last-window-height                  633
/last-window-maximized               false
/last-window-width                   928
/misc-date-style                     THUNAR_DATE_STYLE_ISO
/misc-exec-shell-scripts-by-default  true
/misc-file-size-binary               true
/misc-recursive-permissions          THUNAR_RECURSIVE_PERMISSIONS_ALWAYS
/misc-single-click                   false
/misc-thumbnail-mode                 THUNAR_THUMBNAIL_MODE_NEVER

Also, running Thunar from the terminal and double-clicking the file resulted in this:
/home/francois/Rock.m3u: 3: /home/francois/Rock.m3u: Z:homefrancoisMusicMP3sRockACDCACDC: not found
/home/francois/Rock.m3u: 19: /home/francois/Rock.m3u: Z:homefrancoisMusicMP3sRockACDCACDC: not found
/home/francois/Rock.m3u: 38: /home/francois/Rock.m3u: Syntax error: "(" unexpected

but as mentioned above, the issue was fixed without modifying the file contents.

Thank you!