Well, you would guess some of it was created at the big Bang what with all the heat and stuff... but small chance of any of that ending up on earth.

Anyway, yeah, the big issue is that asteroid metal is presumably not as pure iron as earth's iron but polluted with all kinds of rarer metal, like Iridium and... stuff. And in fiction that makes it powerful. I guess in the real world... it doesn't.
Then again Sir Pratchett has a star metal sword and that alone is reason enough to get one yourself, guys!