Got link where we can see this? At first I was going to say it's part of the name of the category, but it's not part of the name in the default installation. In my 1.9.2 test installation I get this:

* Announcements [A] (4)
* Background (4)
* News (1)

In this copy/paste the stars are actually bullets in the unordered list.

Anyway a link to see the problem would help a lot.

Here you can see what i mean, I have attached a screen shot with the source code generated.

:: Kasper

I finally solved this myself!
After weeks of trying to find out, I discovered that in the _categories.plugin.php fil on line 292 it says

if( in_array( $cat_ID, $cat_array ) )
		{ // This category is in the current selection
			$r .= '*';
		}

And if you delete that little star (*) it will disappear in your current category

if( in_array( $cat_ID, $cat_array ) )
		{ // This category is in the current selection
			$r .= '';
		}

Finally solved :)