The star that marks them as Favorite are initially set when you set up Apple Music when it asks for your Favorite Artists. It is really not used much after that and has no effect as far as "following" them. The notifications about new songs are rare and happens from artists that are not even marked as favorite. That information is used in part when asking Siri: "Play some music that I like". It will then gather information from the songs you have downloaded, playlists created, that Favorite Artist icon, but more importantly whether you have told Siri or marked a song as "Liked" or "Disliked". You can go through the Artists again to mark them as Favorite or not favorite, but that is usually done for songs that are already in your library and is accessed easily by choosing "Artists" from the Library tab on the bottom. The preferred way to curate songs for you is to use the Like and Dislike option that is available on every song by tapping the 3 dot icon to the right of the song. This will not only include this song more frequently in your curated songs, but also other songs from the same Artist.
What really matters is the end result of the curated music that each music service provides. With Apple Music, use the Like/Dislike and with Spotify use the "Follow Artist" and go with whatever service provides the best results for the music you like. On initial setup in Apple Music, marking an Artist as a favorite is good to get things going, but after that, it is what you tell it you like, or songs downloaded, or songs skipped, or songs played more frequently, that help build your curated list. If you like a song from an Artist, it automatically will suggest other songs from that artist.
