The reason why you can't use special characters like an asterisk is because they don't exist in the ROM and so XSE doesn't support them. When you type them into a script, XSE reads them, sees that they don't line up with its recognised characters and doesn't do anything with them. Unfortunately there aren't any in-depth tutorials about character editing, but I did
answer a similar question about half a year ago that does go over the basics of how to add a new character to the ROM and how to use it in a script.
There are actually directional arrows already in FR. Use [U], [D], [L] and [R] in a text string in XSE and they will display as arrows in-game.