is definitely one of best episodes of Season 2, probably tied with The Jem'Hadar
. I never really understood why, but season 2 of DS9 had many good episodes, but they lacked that special quality about them. Season 3 had this to a lesser extent, while season 4 was almost flawless in my eyes.
I think 'the shock' is that Kira for all this time has lied to Odo, and with their friendship they have been open in matters they consider important. I also think Odo was a little hurt, and confused, by the fact that Kira had pulled the wool over his eyes successfully, and if she hadn't done that she would be facing a Cardassian firing squad.
Personally that sort of thing would make me feel very strange, conflicted and pained. Perhaps that's why it seems so significant. I don't think Rom was out of character. Of course he would want his brother to die, then he would realize his (Rom) lifelong dream of owning the bar!
You just have to remember that Ferengi are a paradox of morality. On hand they do love their family, but on the other would sell their own family members (or want bad things to happen to the family) if they could get massive leverage or financial gain. Once you really understand the Ferengi, such contradictory behaviour makes perfect sense.
That is why I think the Ferengi episodes, and Ferengi in general, on DS9 are so awesome, and funny!