Of course, even if going to warp in a solar system isn't a bad thing in general cases it could be a bad thing specifically in the Bajoran system given that there's at least one unique phenomenon located there.
Except that in response to Kira's order, Dax did not say, "Inside the Bajoran system with a wormhole here?" She said "Inside a
solar system?!?!?" She clearly was implying an issue with warping inside any solar system. She was intentionally being general.
Warping towards a star, though, would be a more risky maneuver. You wouldn't want to disengage the warp drive at the wrong moment and hit the star's photosphere without your metaphasic shields up, or to accidentally slingshot into a different timeline, or just generally damage your engines when the warp systems try to deal with the already warped spacetime around a star.
Except that in response to Kira's order, Dax did not say, "Toward the Bajoran sun?!?!!?"
Isn't this conversational tangent specifically about what Dax actually
Dax clearly had a problem with engaging warp in any solar system, unrelated to their direction or the specific system they were in.