As Arjun sir explains it, $\Sigma$ is a set. $\Sigma^*$ is a language, that is, a set of strings.
Let $\Sigma = \{a,b\}$,
Then, $\Sigma^* = \Bigl \{\epsilon,a,b,aa,ab,ba,bb,\ldots \Bigr \}$.
However, $\{ \Sigma^* \} = \Biggl \{ \Bigl \{\epsilon,a,b,aa,ab,ba,bb,\ldots \Bigr \} \Biggr \}$
And that is not even a language, since it is not a set of strings.