Stars in general offer a comparative feature. They show how good a player is when compared with other players in the same manager lvl. As so, to see a 40 ability lvl player as 5* you need to be a lvl 5 manager. Likewise, a lvl 7 manager will see the same player as a 3*. For the first manager the player will be very useful while for the second he will be mediocre.

Regarding training speed, more stars mean slower training. As such a 40 ability player owned by a lvl 5 manager, thus being 5*, will train slower than he would if he was owned by a lvl 7 manager, thus being 3*.

Regarding performance, a 40 ability player will be more competitive in a lvl 5league (5*) rather than in a lvl 7 league (3*) since in the first case he will be facing lvl 40-45 opponents' players while in the second case he will be facing lvl 50-55 players.

I hope this helps.