Is there anything wrong with * { margin: 0 auto; } ?

Hey friend , at first you should be clear about 'What you want to achieve?' .
Next , you should know , what will this code do. Now ,

* { margin: 0 auto; }

This code will set the reset the margin property of each element and set margin-top property of each element to 0 . And will set the left and right margin automatically to center the element horizontally.
This method is a bad practice because it may remove a good default styles for some elements.

Now , why should you not use margin: 0 auto in universal selector ?
It is a bad practive because , some elements have pre-defined paddings and margins . So this will set them to 0. So , in order to give them margin , you have to set that again . So , why to write code twice .
There is a better practice and that is to to include normalize.css file . It has its own set of rules and it will not set margin of all the elements to 0 . It has defined margin to those element who needed it and removed for those who doesn't .
You can use margin: 0 auto for centering a single block level element . Infact it's one of the most used technique to center a div .
Hope it helps :)

There's nothing "wrong" with what you're doing, it's just not the "done thing".

There are a few different ways you could potentially alleviate having to use a wildcard selector like that. One is by using something like Normalize or Eric Meyer's Reset CSS or any of the other reset frameworks that are knocking around. These will generally help to try and make all browsers respond in a relatively similar fashion when it comes to the barebones styling foundation you'll be using when you start to style up a page.

The second reason it's not the best practice is that you're basically setting a rule to run on EVERY element that you put in the structure of your site. Now, something like this could be usable in very specific or one-off cases but I'm pretty certain you'll have other margin rules on a specific class or id selectors further into your stylesheet. This means that you're effectively overwriting your wildcard/catch-all rule pretty much instantly and as such, immediately disregarding the rule you've just declared.

Finally, you should look into the potential reason why you're needing to use the wildcard/catch-all approach as there could be something missing or not sitting correctly in the structure of the page you're styling up. Most of the time, you can fix the need to have a wildcard selector by taking advantage of the methods that I've listed above.

I hope that helps and I apologise for the long-winded response.