Destroying the Wormhole could have been a morale buster for Sisko. It might have turned the Bajorans against the Federation, since all they would be hearing is that the Wormhole was destroyed by the Founders because of Sisko. The loss of their gods can have had big affects on the Bajorans. And if you keep telling a lie over and over eventually enough people will come to believe it.
But how would that have helped the Founders in any way if, by destroying the wormhole -- their only way of reaching the Alpha Quadrant -- they gave up any hope of conquering, or even being relevant to, that quadrant at all? That's the dealbreaker. Destroying the wormhole would've meant forfeiting the war. The Alpha Q. side could've benefitted from destroying the wormhole because it would've protected them from the invaders. But the Dominion were
the invaders. They started the war. They needed the wormhole in order to win it.