Also, if the Dominion had come to Bajor guns-blazing, every former resistance fighter would immediately go back into full resistance mode and they'd have the same headache the Cardassians had.
The Dominion never had any trouble dealing with such headaches. If Bajor fought back, Bajor would face disciplinary action - and when the Dominion inflicts that, it works.
The Cardassians apparently wanted Bajorans to do some work for them. Even their orbital refinery relied heavily on local labor. It wouldn't do, then, to simply kill all Bajorans, even though that should be trivially easy for a culture at the technological level of Cardassia.
In contrast, the Dominion would get full strategic advantage from its occupation of Bajor even if it erased all life from Bajor beforehand. Or if it performed one of its more refined tricks, such as giving Bajorans the Quickening bioweapon that does not kill until after the victims have had the opportunity to procreate and perpetuate the species. All sorts of biological enslaving could be put to effect, with greater or lesser effort but generally without any risk to the Dominion itself.
Would this be a good way to start? To show the Alpha species that opposing the Dominion is not a good idea? Probably not. Better to show benevolence towards an insignificantly weak player, and then later on inflict horrible punishment on a formerly strong opponent, for the best possible effect.