I agree that is annoying. It's waaay less confusing to complete a filename and then get an error from the actual program than it is for just ...nothing to happen so you get confused and have to `ls` to check if the file actually exists and it does and so you think tab completion is broken for some reason and you copy & paste the filename and then finally you get the error that explains what is going on.
It should at least print a message like "file foo.exe exists but it isn't executable".
If you get into this position what you can do is `ls <tab-completed-path>` or other command to put the filename in the previous command's argument, then you can access it via !$ or !^ (or use !!:1 or your shell's notation for indexing an argument that was already in the previous command).
It's not a fix but it'll save a little time sometimes.
It should at least print a message like "file foo.exe exists but it isn't executable".