For circle masks use either
(1) Video FX - Cookie Cutter
(2) Generated Media - Color Gradient, use the oval half transparent preset and adjust the settings.
If you're using Vegas (not Vegas Movie Studio) you'll get better results working with a picture editor. I've used Ulead's PhotoImpact
since it has a large number of particle effect presets for bubbles. There are also presets for stars of various shapes and in combinations (e.g. fireworks).
Other picture editing software will have similar features.
One technique is to create the bubble or star as a simple white shape in a still pic with a black background. This pic is used on the Vegas timeline as a mask over a color still - this allows you to adjust the color of the bubble with the Vegas preview window. You can also add a glow or shadow from the mask track's controls. (This technique can't be done with Movie Studio.)