Of course they knew. In Image in the Sand (I believe) Sisko and Sarah talk about how they arranged his birth. The question is (for me) was Dukat's birth arranged in a similar way by the Pah Wraiths? The Prophets knew that at some point some evil dude would come along and release the Pah Wraiths from their prison and so they arranged Sisko's birth so he could stop it. I often wonder, did the Pah Wraiths do something similar? They chose Dukat as their emissary, was that decision made before his birth? Or was he just the right guy for the job because of who he was?