Setuid Scripts Don't Seem to Work

That's right. 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 comp.unix.questions.