R. Star wrote:
Really the only explanation that would make sense is that they were letting Sisko do the first contact thing and explain corporeal nature in order for him to come to terms with Jennifer's death and move on. You can't be Bajoran Jesus if you're pining over your lost love after all.
That, and the Prophets gradually reveal information to Sisko so that Sisko has a growing understanding of them. If the Prophets revealed everything to Sisko in the episode Emissary
it would have been information overload and completely messed up Sisko's head. Sisko needed time to accept his position, and notice as the season's progressed the Prophets asked more and more of Sisko while Sisko's faith in them grew.