The planet does have a companion light source:
Since Kira and Odo agree that there is "no star system", this light source probably isn't a star. A large artificial satellite with big searchlights, or something else obviously "mechanical" like that? Or a small ball of fusion fire, starlike enough but evidently engineered because stars that small couldn't exist naturally, at least not long enough to be accompanied by planets?
I watched this episode for the first time ever recently, and I thought it was very awkward that they showed that very bright star looking thing RIGHT after they both just said there was no star system... and no explanation was offered or even hinted at.
I think if they are going to make the effort of telling the viewer there is no star system, which is an unusual (but not unrealistic) concept, they should probably explain what the extremely bright star looking thing is that they show 5 seconds later.
I wonder if whoever did the special effects was just not aware there wasn't supposed to be a star. Perhaps a miscommunication between writers and special effects people? Have any of the people who worked on the show ever addressed that? It struck me as quite odd.