With the Dynamic Guides enabled, just grab the star's center and throw it on the circle's center as in the diagram below:
See the difference between dragging the blue center and the black x (centering the 2 objects vertically (Ctrl+E) and horizontally (Ctrl+C)):
To enable the Dynamic Guides
Tools > Options > Workspace > Dynamic Guides > Dynamic Guides On (Alt+Shift+D)
To show snap location marks
Tools > Options > Workspace > Snap to Objects > Show snap location marks
Thanks To
Jack Ross and all members in the thread: forgot how to center an object in an object