is an SD card mounted with setuid mode?
External storage (/sdcard) and physically external storage both are mounted by vold with nosuid irrespective of the filesystem, can't be mounted other way without root.
Both storages are accessible to apps as emulated filesystem (with fixed file permissions) or through SAF; both don't let files be executed.
You can move ELF executable to somewhere on /data e.g. to /data/local/tmp/ using adb shell or to /data/data/com.termux/files/home/ using Termux app. /data is formatted as ext4 or f2fs, lets file permissions be set, so you can execute files there. But that too is mounted with nosuid by default.
Android apps are run with all Linux capabilities dropped (empty bounding set and NO_NEW_PRIVS set), so they can't make use of setuid or file capabilities to elevate their privileges.


You may want to have a look at How Magisk works? or How to manually root a phone? to see how root works on Android devices, not possible with locked bootloader.