I produced a Windows self-contained bundle with FX packager. At top level it contains an application executable, say sb.exe.
If in a terminal I call "sb.exe toto.fxml" it opens the provided file, fine.
But if I call "sb.exe" it returns immediately, exit code 127. As a consequence I cannot start my app by double clicking the desktop icon, annoying.

I use Win 7 64-bit. I produce my self-contained bundle using Java 7 U10 b08 (or b09) 32-bit.

For some reason doing exactly the same on Linux does well: the generated native launcher starts the app on a blank file when called with no param, or starts the app on the file provided as a parameter.

To give it a try by yourself I can provide you a bundle (big) ar detail how to produce it from the scenebuilder repo.