Not automatically. You can do it by creating the Star and the Circle as separate objects, convert one of them to Editable Spline then attach the other to it. Downside is that once converted you lose access to the construction parameters (diameter, number of points etc) so make sure they are correct before converting.
Max 2016 (SP1/EXT1)
Win7Pro x64 (SP1). i5-3570K @ 4.4GHz, 8Gb Ram, DX11.
nVidia GTX760 (2GB) (Driver 430.86).