You can now star received messages; but when sending messages, you can't star them on the way out to make them easily findable later on. If you did, your inbox would have normal starred messages (messages which you need to reply to), and another section for messages you've sent, which the other person needs to reply to.
It's just as important to remember to reply to important messages other people send (starring) as it is for other people to remember the same thing about you! Therefore, both functions should as easy to keep track of.
But right now, it isn't, because there's not really a good way to keep track of outgoing messages.
*update*: You can now choose a star from a dropdown on a message while drafting. But it doesn't work well because it's hidden in a menu, and even after you star it, the message won't show up anywhere special.