UPDATE: Specifics around which executable to use have been alleviated in v220.127.116.11. Directory Monitor will now determine the application that is used by default (by the shell) to execute the file you specify. Basically, if you specify a VBS file to execute, Directory Monitor will automatically correct this for you and replace the "Execute" file and "Parameters" appropriately to the defaults on your system.
For Directory Monitor < 18.104.22.168:
Directory Monitor v1 used the shell to execute so you could specify any file type and Windows would use the registered application for that extension to execute it. When you hide the application (running in the background) you cannot use the shell which caused inconsistent behavior for users when they could execute things without fail when the window was displayed, but it broke when they hide it. On top of that, you could crash explorer (losing your start bar and right click menus) if something went wrong with the shell execution.
Hope this clears up the confusion with why VBScripts cannot be executed directly. Another option is to wrap the script calls in a batch file (which will use shell execution by default) and execute that directly.