I think that was "By Inferno's Light". Dax did seem to balk at that although Kira didn't think it would be a problem.
The bigger problem is that a supposedly perfectly ordinary stellar explosion would pose a risk to perfectly warp-capable starships about twice as far from the star than Bajor is. Surely those ships could get their engines up and running in the 15-20 minutes it takes for the explosion to reach DS9?
There is another possibility. The warp drive in the "Q and the Grey" had it's warp field collapsed by a supernova's subspace shockwave only "0.02 LY" or 1,264 AU away. Earlier in the episode, the crew comments that Voyager was one of only two ships that have ever observed a supernova within 66 AU. They stayed in front of the (presumably non-subspace) shockwave at full impulse.
Since DS9 (and the fleet) would have been well withing 60 AU from Bajor's star they might also be unable to escape on warp drive.
Also, in "Second Sight" they modified a ship to be able to hit "Warp 9.5" believing that would allow them to escape in case their experiment was going to cause a supernova .