He didn't directly let millions die because of what happened in Change of Heart.
The informative had information. That information could have ended the war sooner, which could have saved millions of lives.
It's not like there were two buttons, one that said "Save Jadzia" and the other that said "Save millions of people." Semantics, perhaps, but just wanted to clarify.
Had it been a TNG episode, he would have found a way to complete the mission and save Jadzia.
I agree with the other who have said it, Worf makes too many emotional and impulsive decisions to be a Captain. Not that that's a bad thing, I think it's what makes his character so interesting.
It was his wife. What more is there to say?