Late reply but yeah, the shiny stars are real. You can't die more than 5 times on any level on your first play through the entire game. To my knowledge you don't have to do this through the special worlds, only normal worlds 1-8. Here is a video showing shiny stars:
http://www.youtube.com/watch?v=iWgImfrYVxk
To make things easier just save before playing a course, then exit and re-enter the entire game if you die more than five times in that course. It bypasses the whole 'don't die more than 5 times' thing.
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