There are several issues with your query. First of all, you need to escape the stars (with backslashes) or they will be interpreted as wildcards. Second, pro-drop is indicated by
*pro* (note lowercase). Finally, you need to specify the query function. You probably want this line:
query: (NP-SBJ iDominates \*pro\*)
NP-SBJ* as kaleissin suggested won't hurt, but it won't help with this issue either.
BTW, if you copied that query directly out of the manual, it is certainly a documentation bug. If you can show me where specifically it came from, I can see that it is fixed.