Worf is subject to Starfleet rules on a Starfleet-administered
station, then, if you want to be pedantic. It doesn't really matter whose law the station operates under, because it is not as though the Bajoran legal system is radically different from the Federation's.
At least when Worf fought and killed Duras, he was in Klingon legal jurisdiction, what with being on Duras's own ship and all. From the Starfleet point of view, it was even self-defense, if you ignore the fact that Worf started the fight. On the other hand, Duras started the duel with Worf by killing K'Ehleyr. The Klingons had no problem with Worf's actions, but Picard
did, even when Starfleet didn't seem to, or probably even couldn't
have a problem with it. But did Sisko even do as much as Picard did under similar circumstances, i.e., Worf carrying out actions that were legal under Klingon law but not Federation law? I don't recall Sisko doing anything more than yelling at Worf.
How much leeway are Starfleet officers of various cultures given? Does Federation law follow the citizen, or does the law of the land/planet/culture hold no matter where the citizen is? Picard disapproved of Worf killing Duras even though it was legal to do so in the way he did, and
outside Federation territory to boot. Was Picard just being Picard the Perfect Human, or did he have legal grounds for admonishing Worf? Similarly, would Worf be able to use Klingon law in a defense if he had been brought to trial for Kurn's "murder", if it had gone that far?