Worf must be a naturalised citizen, and being a Federation citizen per se is not required to serve in Starfleet. Even in some countries in real world, citizens can serve in other nation-states' armed forces. As a Commonwealth country, an Australian can serve in the UK armed forces if s/he opted to.
But would Worf have to be a "Federation Citizen" to be a part of the Rozhenko family? Adopting a child from a foreign country doesn't in of itself make the child a American citizen, that's a seperate legal procedure.
You don't have to be an American citizen to be a enlist member of the US Armed Forces. Starfleet might have something similar for it's officer. I didn't get the impression that Ro was anything but Bajorian.