From the comments above it looks like you have dos line endings, and so the hashbang line is not properly processed.
Line ending style are not shown with
:set list in Vim because that option is only used when reading/writing the file. In memory line endings are always that, line-endings. The line ending style used for a file is kept in a Vim per-file option, weirdly called
To see/change the line ending style from Vim, you can use the following commands:
:set fileformat :set ff
It will show
unix. You want
unix, of course ;-).
To change it quickly you can save the file with:
Or if you prefer:
And then save the file normally.
So see all the gory details just do
:help file-formats and