The game tries to give you the EXACT item you have in a gear set, and if you add a new materia the game will put the item in but let you know its "different" from what your set says it is. So its not really that something is lost, just changed in some way. This happens with the atma weapons as you do the books too.

As far as the * goes, I assumed it was to designate a gear set that has the new weapon sheathed and head gear displayed options on it, since those came about when it started showing up.