Actually, I'm not even sure why csx files exist in Windows, much less why anything like them is so important on other OS's.
From the sound of it, a close equivalent might be Groovy.
But in truth, I kind of suspect that a lot of the reason for .csx is that until PowerShell came along, the Windows command shell/scripting environment was very, very feeble.
In contrast, the Unix and Unix-like OS's have always had very powerful shells and a rich set of support tools such as grep, sed, awk, perl, and the like plus frameworks like Tcl. And more recently, Python, among others. Most of these can be acquired for a Windows machine, but in the *n*x OS's, you can consider them as standard and not have to pull them in from third-party sources.
An IDE is no substitute for an Intelligent Developer.
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