Since some update occurred, you can no longer star entire albums when you are looking at that specific album. You have to go to the entire list of that artist's music to star the album, or star each song within the album individually.
I really, really, really liked the star button that allowed me to stay within the album while starring it. It's not a huge deal, but I REALLY liked that button! Can you bring it back? 
2015-01-14
Hey guys, with the introduction of Your Music you can 'Save' entire albums at once. These will then go straight into your Songs playlist.