They needed the Wormhole to win the war quickly. Otherwise The Dominion were making ships and growing Jem'Hadar faster than the Klingons and Federation could build ships and train crews. I believe those reason were cited by the Romulans for not joining the Federation-Klingon Alliance.
You're talking about the agents of the Dominion who were operating within the Alpha Quadrant. I'm talking about the Dominion itself, the government that sent them to our quadrant. It's like the difference between an American combat unit in the Pacific in WWII vs. the Roosevelt administration. The Vorta and Founders in the AQ were just the advance forces acting on behalf of the actual Dominion back in the Gamma Quadrant, a Dominion whose goal was to establish control over the Federation and its neighbors. If the wormhole were destroyed, maybe the Dominion forces in the AQ could've continued their conquest, but to what purpose? The actual Dominion itself, the Gamma Quadrant government that started the war in the first place, would've been completely deprived of any possible way of winning it.