Welcome to the Auth0 Community!
The behaviour that you are seeing is expected, as localhost is treated as a top-level domain and the callback fails since the wildcard must be located in a subdomain within the hostname component. This is also mentioned on the following topic : Wildcards for subdomain callbacks not working and what you are seeing on your end falls under the expected outcome.
In addition, ports in the callback URLs that use wildcards are not allowed, as these would need to be explicitly specified. While adding a list of callback URLs ( due to their ports ) can be inconvenient, this method is the most secure way of achieving your goal.
We warmly recommend submitting a Feature Request on this matter where other users can vote on it. As the page is monitored by our Product team, more popular suggestions can create interest and further drive the development.
Hope this helped!
Gerald