Some detail: the "shebang" at the top of the script (#!/bin/bash) tells the kernel which program to use to load the script. Other tags ("MZ"+"PE", "\x7FELF", etc.) are treated in a similar way by the kernel loader.

But by using "sh script.sh" you told the kernel that you knew what you were doing and loaded the script with "sh". Which ignores the shebang, because it's just a comment.