This article is from the Frequently Asked Questions for Linux, the Free/Open Source UNIX-like operating system kernel that runs on many modern computer systems. Maintained by David C. Merrill with numerous contributions by others. (v1.0).
A: They aren't supposed to. This feature has been disabled in the Linux kernel on purpose, because setuid scripts are almost always a security hole. Sudo and SuidPerl can provide more security than setuid scripts or binaries, especially if execute permissions are limited to a certain user ID or group ID.
If you want to know why setuid scripts are a security hole, read the FAQ for news:comp.unix.questions.