Use the Open File script step to open a Filemaker file, not Open URL.
Note also that WHITE.fp7 is NOT set up as an External Data Source within RED.fp7 because the two files are unrelated to each other. Essentially, the script is intended to function as a shortcut to open WHITE.fp7 from within RED.fp7.
Whilst I do agree completely with comment, open file should really be used
I have used the following approach in the past..although only on windows machines
Send Event 
Open Document / application
File : file:Utility/test-utility.fp7
This of course has its drawbacks, lets say you installed FM11, but then wanted to also have FM10 installed which is feasible, so you install FM10 second (FM10 now becomes the default application for .fp7 files)
So... your solution is open in FM11, you send the event and your file will open in FM10 not in FM11.
Im sure there are more scenarios such as this, so the question is.. why not add it as a data source, even though its not going to be a source ? The file will not be opened / requested if there is nothing depending on it (at least thats what I find) so it should not cause issues.
Of course, I do use open URL to open FP7 files myself, however this is part of a launcher file I use for opening hosted databases, in which case the url format is :
Open URL [No dialog ; "FMP7://192.168.1.5/solution"
Obviously, with the relevant IP address and file name (.fp7 not required)
Thanks, Comment and SWS, for your suggestions. I'll do some testing and see how it goes :-)