Ah, but it is only because Sisko chose to be "of Bajor" that the Prophets created him to be so. That's the thing about the Prophets, they're not linear.
Yeah, I'm fine with it for that reason. If anything, it underlines the non-linear nature of the Prophets even moreso than what was done previously in the pilot and the Emissary trilogy.
I'm not in love with the idea or anything, but I think it's a natural extension of what had been established previously about how the Prophets operate.