FAT may not be a POSIX-style filesystem, that doesn't mean that you shouldn't be allowed to store executables on it and run them directly from it. Because FAT doesn't store POSIX permissions, the only way this can happen (easily) is if the default mode used for files allows their execution...
In the past, when (V)FAT was still used as the main filesystem for other operating systems (DOS and Windows), and hard drives were smaller, it wasn't unusual to store Unix/Linux binaries on a FAT filesystem. (There's even a FAT variant which stores POSIX attributes in special files, so you could run Linux on a FAT filesystem.) Nowadays you can still end up doing so -- on USB keys for example.
If you're worried about the security implications, there are a number of options you can use.
nodev are probably already set for removable filesystems on your distribution;
fmask allow you to specifically determine the modes used.
showexec will only set the executable bits on files with
.exe extensions. (Note that a file's permissions and the ability to execute it are separate...)