Because the certificate is not issued by a trusted CA you will get the error for every domain the wildcard certificate applies to. Firefox stores certificate exceptions with the domain as the key, not the certificate so it will ask you to make an exception for every domain (even with a wildcard certificate).
If you don't want to trust the CA directly you can ask the CA owner to create an intermediate CA certificate for you, which you can use to issue certificates. You can then add the intermediate CA in your browser. (or you could just create a new CA)