While I got the answer right, the explanation of the answer: "The "*" Specifies that all columns are returned, so space is not necessary in between, before, or after * in a SELECT statement" doesn't explain what is happening.
The SQL Parser is using non-alphanumeric (or, possibly, reserved) characters to determine the end of each string token. It uses non-numeric characters to determine the end of numeric tokens. Thus SELECT 1FROM <table> works, but SELECT1FROM <table> doesn't.
There was probably no decision made to allow SELECT*FROM. This is probably a result of wanting to allow mathematical formulas without forcing spaces around the operator (e.g.) field1 + 2 vs field1+2.