Basically, the star was radiating light and without it everything turns dark. Paradise Lost is also a destructive technique, causing the parallel dimension to collapse after it's used, destroying the star. It's clearly far in the background from the party (Lumine flies beyond the moon before the screen cuts to white and his dimension is opened) so it not only looks and acts like a star (and is blatantly a replica of the sun with the yellow colour and everything, of note is the fact only stars of certain sizes can be yellow, and since the star is yellow that would mean it's comparable in size to the sun) but is also in the place of the sun.
There's also the question of what else it could be, a giant lightbulb in the sky? Occam's Razor ain't supporting that shit, and Lumine's name alludes to the luminosity of stars. Furthermore it's kinda silly for the verse to have casual planet level feats (some very well portrayed) at many points earlier in the series but then make a big deal out of a god tier (at the time at least) destroying a lightbulb in the sky. I should also point out that the shot in which Lumine opens up the dimension shows the earth all the way in the background while they are on the moon, yet the exact same shot shows Lumine flying so far backwards that he completely disappeared to the camera, same camera that was showing something things hundreds of thousands of km away. It would a waste of space to use a stellar distance spanning dimension as the battlefield yet only use a small platform, some clouds, and a tiny star next to those clouds that encompasses nowhere even remotely close to a kilometer, I see no reason to believe that the star was not a stellar distance away from the platform.
and finally this
"Lumine is Latin for "light." The name was most likely chosen as a reference to Lucifer, one of the fallen angels and otherwise best known as Satan, who was originally considered one of God's best angels before his fall. This is further supported by the subtitle of the game and the name of his final attack, Paradise Lost, which was an epic poem written by John Milton that covered the fall of humanity and the angels, specifically Lucifer."
Pasted from wiki but I edited the page so whatever. Essentially, everything points to it being a stellar body/star, and it's not even the best feat in the X series regardless (Gravity Beetle, Gravity Antonion, and X have better feats) :chainer