In zsh, you can select between two behaviours, either you get an error when * doesn't match anything, or it expands to nothing as in fish. (and when in the first mode, you can write *(N) to make it expand to nothing if it doesn't match). In bash i think * is left as a literal * if it doesn't match, so the file not found message is actually from ls, not the shell. Not 100% sure about that one though.
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