Yes, this is rather confusing -- when you hover over it, it displays a help cursor, but nothing happens when you click on it. It's not until the very bottom of the page that you finally see the message "There are required fields in this form marked (!)."

I don't know the best way to handle this, but with some CSS you can swap the icon out for the asterisk:

/* Swap Required Alert Icon with Asterisk */
.fa-exclamation-circle:before {content: " * "; font-weight: bold;}

Disclaimer: You have to know what the class is called for your theme, and you have to know what other parts of the site use that class so you don't unintentionally change this icon in other places where it may be useful to leave as is.

Nice idea from John, but If you are not confident with CSS, You could (maybe) add some additional explanatory text by editing the language pack?