I think this is more urban legend around where I work than anything. I do not see anything in RFC 2459 that specifically says whether or not they should be used or if there are any known problems with using them. It only says:
From RFC 2459
Finally, the semantics of subject alternative names that include wildcard characters (e.g., as a placeholder for a set of names) are not addressed by this specification. Applications with specific requirements may use such names but shall define the semantics."
That whole statement is difficult for me to interpret. I'm really more interested in the functionality of a self signed wildcard but if there is any security issues around using them I would certainly like to know that as well.