The asterisk is present in the labels, however the theme does not use the labels but field placeholders.
You can revert to the classic labels using custom CSS:
body .comment-form-author label, body .comment-form-email label,
body .comment-form-email label, body .comment-form-url label,
body .comment-form-comment label {
display: inline-block;
}
#comments input::placeholder, #comments textarea::placeholder {
color: transparent;
}