How to reproduce:
1) Create a small script which echoes to a file (I tried python and bash with "#!/usr/bin/env python" and "#!/bin/bash")
2) Make sure it works when called from command line.
3) PCManFM, any file, Open With... -> Custom Command Line.
The other options don't seem to change anything, a terminal window isn't seen. However a .desktop-File in ~/.local/share/applications is created which reflects the chosen settings.
If pcmanfm is run from a terminal the output is
"(pcmanfm:18673): GLib-GObject-CRITICAL **: g_object_weak_ref: assertion 'G_IS_OBJECT (object)' failed"
The same happens for command line applications like "cat", however it seems to work for applications which have a .desktop file (tested with "leafpad" or "lxterminal", where the latter is started and prints its help message).
Tested with pcmanfm 1.2 and libfm 1.2 which come with Lubuntu 14.04, also tested with current libfm (git from today).