The * appears under the field because the field is inside the label. There doesn’t appear to be any useful filters for this, but you could use one of the hooks to inject some JS on the page that adds the *:
required = jQuery( "<span>*</span>" );
required.css("color", "red");
jQuery('label br').before( required );
Note: if you’re going to use a library like jQuery in my example, you’ll need to queue that as well – it’s not by default on the register page