Because the star is an actor. An actor, by definition, can’t be a component. You can attach them though, but they won’t appear in the blueprints viewport.
Also, if these stars are going to just be static spheres, it would be better to use an instanced static mesh. Depending on what you’re planning with them, you might not even want them attached. You certainly wouldn’t want them as components- selecting a single star would be extremely annoying.