Dear SBCl team:

I believe this is not expected and represents a bug in both Window and Linux versions.
(I do not have quite the latest version on Linux bit I hope this is helpful)

Windows Version:

Microsoft Windows [Version 6.1.7601]
Copyright (c) 2009 Microsoft Corporation.  All rights reserved.

C:\Users\Martin>sbcl
This is SBCL 1.1.12, an implementation of ANSI Common Lisp.
More information about SBCL is available at <http://www.sbcl.org/>.

SBCL is free software, provided as is, with absolutely no warranty.
It is mostly in the public domain; some portions are provided under
BSD-style licenses.  See the CREDITS and COPYING files in the
distribution for more information.

WARNING: the Windows port is fragile, particularly for multithreaded
code.  Unfortunately, the development team currently lacks the time
and resources this platform demands.
* (make-pathname :name "example*" :type "txt")

#P"example\\*.txt"


Linux Version

[martin@localhost ~]$ sbcl
This is SBCL 1.0.56, an implementation of ANSI Common Lisp.
More information about SBCL is available at <http://www.sbcl.org/>.

SBCL is free software, provided as is, with absolutely no warranty.
It is mostly in the public domain; some portions are provided under
BSD-style licenses.  See the CREDITS and COPYING files in the
distribution for more information.
* (make-pathname :name "example*" :type "txt")

#P"example\\*.txt"

The expected result is as returned by ACL and ABCL for example is:

C:\Users\Martin\Downloads>java -jar abcl.jar
Armed Bear Common Lisp 1.3.0-dev
Java 1.7.0_51 Oracle Corporation
Java HotSpot(TM) Client VM
Low-level initialization completed in 0.331 seconds.
Startup completed in 4.297 seconds.
Type ":help" for a list of available commands.
CL-USER(1):  (make-pathname :name "example*" :type "txt")
#P"example*.txt"

You may appreciate the error in this interaction:
CL-USER> (directory "plot*.dat")
(#P"c:/FreeLISP/plot00.dat")
CL-USER> (directory (make-pathname :name "plot*" :type "dat"))
NIL
The result, of course, should be the same in both cases... (since the file "plot00.dat" does exist)

Martin M