Especially when you consider that they did it for themselves, for some strange purpose that happens millions of miles away.
They honestly don't care about humanoids, Bajorans or whatever, in the purest sense of the term.
"Corporeal matters do not concern us" = they don't care. Which brings up the issue (yet again) of the Bajorans possibly wasting their time worshiping beings that are barely aware of them.
You can bring up the Orbs, but they may have been simple information gathering devices-- Quark was a greedy S.O.B and he had an Orb experience.
Other people who wanted to obtain information or enlightenment got nothing.
It's nice to know that your gods exist, but whether they care about you is whole different thing.
It's like the UFO debate; even if we can prove they exist, then the questions is; so what, how does that make my life any better?