Yes. OP is right. There is a minus. Since by convention the complex conjugation obeys
$$ (z w)^{\ast} ~=~ w^{\ast}z^{\ast}~=~(-1)^{|z|~|w|} z^{\ast}w^{\ast} \tag{1}$$
for any two supernumbers $z$, $w$ (of definite Grassmann parities $|z|$,$|w|$), we should also have
$$ (A f)^{\ast} ~=~(-1)^{|A| ~|f|} A^{\ast}f^{\ast} \tag{2}$$
for complex conjugation of an operator $A$ and a function $f$, cf. e.g. Refs. 1 & 2. Eq. (2) reduces to eq. (1) if $A$ is a left multiplication operator. It is easy to check that eq. (2) implies that$^{1}$
$$ \left(\frac{\partial_L}{\partial z}\right)^{\ast}~\stackrel{(2)}{=}~ (-1)^{|z|} \frac{\partial_L}{\partial (z^{\ast})}.\tag{3}$$
Since Berezin integration is the same as left differentiation
$$ \int \!d\theta ~=~\frac{\partial_L}{\partial \theta}, \qquad
\int \!d\theta^{\ast} ~=~\frac{\partial_L}{\partial (\theta^{\ast})},\tag{4} $$
we derive that complex conjugation of Grassmann-odd differentiation produces a minus
$$ \left( \int \!d\theta \right)^{\ast}
~\stackrel{(4)}{=}~\left(\frac{\partial_L}{\partial \theta}\right)^{\ast}
~\stackrel{(3)}{=}~-\frac{\partial_L}{\partial (\theta^{\ast})}
~\stackrel{(4)}{=}- \int \!d\theta^{\ast}.\tag{5} $$
References:
B. DeWitt, Supermanifolds, Cambridge Univ. Press, 1992; eq. (2.2.19).
S.J. Gates, M.T. Grisaru, M. Rocek & W. Siegel, Superspace, or One thousand and one lessons in supersymmetry, arXiv:hep-th/0108200; eq. (3.1.9).
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$^{1}$ The subscript $L$ ($R$) denotes left (right) differentiation, i.e. acting from left (right), respectively. For completeness, let us mention that
left and right differentiation are connected via the formula
$$ \frac{\partial_L f}{\partial z}~=~(-1)^{(|f|+1)|z|}\frac{\partial_R f}{\partial z},\tag{6} $$
so that complex conjugation satisfies
$$\left(\frac{\partial_L}{\partial z}\right)^{\ast}f~\stackrel{(3)+(6)}{=}~ (-1)^{|z||f|} \frac{\partial_R f}{\partial (z^{\ast})}, \qquad \left(\frac{\partial_R}{\partial z}\right)^{\ast}f~\stackrel{(3)+(6)}{=}~ (-1)^{|z||f|} \frac{\partial_L f}{\partial (z^{\ast})}.\tag{7} $$