you were almost there. Just need to add escaped newlines in the inserted text.

/^\*[ \t]/i\
\
\* ATTENTION \*\

you were almost there. Just need to add escaped newlines in the inserted text.

/^\*[ \t]/i\
\
\* ATTENTION \*\

However, the idiomatic way of doing it, which is posixly, portable, nd avoids backslashing is:

/^[*][[:blank:]]/!b
H;s/.*//;x
s/./&** ACHTUNG **&&/