Why is there an asterisk (star) next to some users' names on the Currently Active Use

[Kier]

These users have chosen to be invisible, however you as admin can see them.

[Cassius]

Well... because since you are the admin, you have the power to see users, even when invisible. The '*' is indeed the sign of invisibility.

"Captain´s prerogative", we may say.

[Ian Winters]

Of course you can see them. Admins need to know anything and everything that's going on, including hidden members. In fact, all hacks I've seen limiting visibility, accessibility, hidden posts, etc, admins are not affected by, even personal message hacks.