When you just see a star or planet with nothing else there it often feels too small because you have no other reference for it's scale. However land at an outpost in orbit around a gas giant or close to a moon, or fly by a planet close to a star, then the scale starts to hit home a bit more. The other problem is that when you are flying in SC you are going so fast that it makes huge distances seem utterly tiny. As for the stars, you're not even getting anywhere near close to them, not like you do the planets. The drop out zone is still millions of miles out. The main problem however I think currently with the stars is that the texture effect that they have is just a bit too big in scale. That sort of liquid effect is just too big and not detailed enough to make them feel super massive.
Trying to grasp an idea of scale from a long distance is a really hard thing to do even in the real world. If you've ever been on a flight abroad and looked down at the ground below and tried to make sense of the features you see in the landscape you'll know what I mean.