You would normally get this behavior by default. Attached is a sample showing the * when you click into the AddNewRow.
The icons in the row header are normally provided by the "RowHeaderCell" CellType. You should check to see if you are somehow changing the style.CellType for your row header cells. One way you might be doing this is handling model.QueryCellInfo and providing an e.Style.CellType when e.ColIndex = 0 there.
GDBG_BindingList.zip