Wildcards may not work on the host itself but if your host asked then they probably will work. wildcards should work in the DNS anyway so the Control Panel may or may not need adjusting after the next subdomain is added. Just keep that in mind.

WordPress does all the domain mapping in a Multisite which is why your subs should all point at the web root.

You won’t find any extra directories or files added for the individual sites except under the wpcontent/uploads directory. You might look around that later but everything is done in the database and the web root.