From "Through the Looking Glass":
SISKO: Well, I'm glad to see the two of you are getting along.
DAX: We have a lot in common. He's all yours.
JENNIFER: Dax tells me you're leaving.
SISKO: I thought I'd pay the Romulans a visit. See if I can convince them to help us.
In his wonderful mirror books, The Sorrows of Empire
and Rise Like Lions
, David Mack did not have Jadzia be the host to Dax. Instead Curzon is succeeded by someone else. He put up a pithy reason in the Treklit forum for this dialogue.
IIRC, his pithy (though admittedly weak) explanation was that Jadzia was never joined, and that she just kinda rolled with it when Sisko called her "Dax." (According to Mr. Mack, she kinda gave him a weird look when he did that. Maybe she thought it was a new name à la Smiley?) Jennifer hadn't met Jadzia before, so she just called her what Sisko did.
I don't know if Sisko sleeping with MU-Jadzia was right or wrong (assuming he actually did), but it was obviously necessary. From what we know of MU-Sisko, he would have done it, barring only serious death or illness. Sisko was in deep sh*t and he knew it; to risk blowing his cover by not sleeping with Dax could've cost him his life.