Diablo – Follower bug: can’t progress

According to a topic on the forum, this star means that you have a legendary item that you can equip in that slot. It may also be that this legendary is in your chest. Quote from the forum:

They are in my storage chest. Even if they are in your chest, they still put the star on your character's inventory, even if you are not carrying them!

You should be able to choose what Act and Mission to play from the main menu. If you haven't finished the game on higher difficulty levels, or haven't finished the game on the first difficulty level yet, then the missions/acts you haven't done yet will be grayed out.

Since the game treats online and offline the same, it will have put you back to where the group you joined was. If you press continue from the main menu, you'll end up doing missions you've already done.

Instead, choose the latest mission from the mission select/difficulty select screen.

You may have lost your current progress in that mission, but all your gear and gold will still be there.

I hope this makes sense :)

P.S. The game is made so you can go back and play in previous areas. You get to keep loot and gold, then you can carry on back to where you left off. Everything is tied to your character, not to the story line. So as long as you don't create a new character or delete your current one, it won't matter what missions you play. But to get better gear, you need to finish the game on it's hardest difficulty. Which is unlocked by beating the previous difficulty and so on. Which requires you to go through the story line.