You are trying to change the password for sap* user, however when you go into su01 and enter sap* as the user name, the following message is displayed, user sap* does not exist.

You can delete the SAP* user using ABAP code :-
Delete from usr02 where bname = 'SAP*' and mandt = '***';

Where '***' means your client no.

Then login to your client using password SAP* and password PASS

However, if you delete it, then it will automatically created once again with password PASS

The userid, SAP*, is delivered with SAP and is available in clients 000 and 001 after the initial installation. In these 2 clients, the default password is 07061992 (which is, by the way, the initial date when R/3 came into being...). It is given the SAP_ALL user profile and is assigned to the Super user group. When I say it is "delivered" with SAP, I mean that the userid resides in the SAP database; there are actually rows in the user tables used to define userids.

If you delete the userid, SAP*, from the database, SAP has this userid defined in its kernel (the SAP executable code that sits at the operating system level, i.e., disp+work).  When this situation exists, the password defined in the SAP code for SAP* is PASS.  This is necessary when you are performing client copies for example, as the user information is copied at the end of the process. You can sign into the client you are creating while a client copy is processing using SAP* with password PASS (but you should have a good reason to do this - don't change anything while it's running).

Anyway, if the SAP* userid is missing, you can sign in to the client you want and simply define it using transaction SU01 and, as I stated above, assign it to the SUPER user group and give it the SAP_ALL profile.  You define its initial password at this point. If you've forgotten its password and don't have a userid with sufficient authorization to create/change/delete userid, 
then you can use the SQL statements to delete it from the database and then you can use SAP* with PASS to sign back into the client you want to define it in and recreate it.

There is also a profile parameter which can override the use of SAP* with PASS to close this security hole in SAP (login/no_automatic_user_sapstar).  When this parameter is defined either in your DEFAULT.PFL profile or the instance-specific profile and is set to a value of '1', then the automatic use of SAP* is deactivated. The only way to reactivate the kernel-defined SAP* userid at this point would be to stop SAP, change this parameter to a value of 0 (zero), and then 
restart SAP.

The default password for SAP* is 06071992. (DDIC has 19920706)

Ways to Lock and Unlock SAP Users
Different methods to Lock or unlock SAP users

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