That isn't a quantum mechanics thing, it's a complex numbers thing. The magnitude of a complex number is given by z^* z not z^2. Think about it, if instead of a complex number I thought of z as a 2-dimensional vector, an x and y coordinate (the y is the complex part). Then the, euclidian, distance from the origin would be x^2+y^2. So for a complex number a+bi you might think the "distance" from the origin to the point in the complex plane is simply (a)^2+(bi)^2 but that's really a^2-b^2. In order to get the usual distance we need (a+bi)(a-bi)=a^2+b^2+abi-abi = a^2+b^2.
The same is equally as true for a complex function. This isn't quantum mechanics it's just the math of complex numbers. In general the use of i in quantum mechanics is a bit of a misdirect for a lot of new students, and this isn't helped by many teachers making it seem mysterious. In reality the role of complex numbers in quantum mechanics is similar to simply saying they there isn't ONE complex equation (the schrodinger equation) which must be followed but in fact two REAL equations. Indeed you can write all of quantum mechanics in such a way that complex numbers don't appear.