being unable to change the * easily for required fields makes your site 'look' like all the other drupal sites, and can pee you off if you don't want that! ie. if you want to change it to '(needed)', or whatever etc to suit your audience (older users of a site won't be trained to know what * means), so i think it should be translated to allow the drupal admin to get to it.
ie. i love string overrides module as a quick way of changing a few strings, and hope that something similar will be built into the 7 . eg. changing the text that appears for the help of freetag vocabs should be easily changable. preventing this will only frustrate users, and will dictate to drupal admins, 'you must have your site THIS way, not the way YOU want'.
anyway, i couldn't find anything other than removing it using css so i've created a feature request, not sure if it's a feature request or bug: http://drupal.org/node/303899