I tried that at first, and it didn't align the * in the right column. Maybe I'm a bit demanding, but that's important to me :-) Plus, I don't mind if I don't get markdown's feature's in O'Caml ;-)
You could probably record a macro to do it too:
Return Space * space
I think I bound it to shift-return and scoped it to comment.block and it worked out just fine.
It was on another computer, so I don't have it in front of me atm, but I think that should do the trick.
-steve