It didn't make much sense to keep the wormhole open, and keep going in the Gamma Quadrant frequently, when they knew a very powerful and dangerous enemy was threatening to attack them.
But based on the whole story line , this is what I get; The wormhole boosted Bajor's economy because of the money they could make off of DS9, and getting raw natural resources from the G.Q.
Otherwise Bajor was a broken down planet. They had to keep the wormhole open.
It still seems kind of silly, though, how they left their side of the wormhole so lightly defended, even when they knew how aggressive Dominion was being.