A *_(cosplay) search is basically like a wildcard search on the /tags index, but it is limited by tag limits, 6 tags for gold, 12 for platinum+. So for gold users *_(cosplay) is effectively the same as an or-search for the top 6 cosplay tags, which just so happens to include Shimakaze. This is why it seems to only work for certain characters.
If you search *_(cosplay) by itself you can see the tags it matches under the tag list in the sidebar.
Exclusions + wildcards indeed don't work. I've updated help:cheatsheet to document this. It would probably be doable to add, but given the wildcard limits I'm not sure how useful it would be.