Remember that the first Orbs appeared only ten thousand years ago; we don't know of any Prophet/Bajoran communication from before that date ("Emissary"). Yet the Bajoran civilization is hundreds
of thousands of years old ("Ensign Ro"), and thus seems to significantly precede contact with the Prophets. The caste system may have been ancient already when the Prophets first told Bajorans something the Bajorans might have mistaken for a divine edict...
Apart from that, we don't really learn that the Bajorans would believe that the will of the Prophets is something that can be understood even by priests, let alone ordinary folks. There is nothing comparable to the Ten Commandments in what is known of the Bajoran faith - there aren't even any known common forms of worship. It's all personal, with the priests mainly doing the monk thing in some pretty garden or another, and the ordinary folks living their lives and occasionally having a divine chat.