We know that the Dominion puts together psychological profiles of prominent figures (Benjamin Sisko). Perhaps one method of doing this is by capturing and observing an individual in confinement to learn more about how he thinks and adapts to extreme circumstances. In the case of physically imposing beings like Worf or Martok, there's the added advantage of being able to train the Jem'Hadar for combat by learning more about species-specific fighting styles.
As an aside, I wonder what Bashir might have done had he been forced to fight. His genetic enhancements might have helped him defeat Jem'Hadar, but would he have risked revealing his secret just to stay alive? An interesting idea could have been to have him suddenly overpower a Jem'Hadar solilder- perhaps to save Garak- and claim that his adrenaline took over. As his secret was revealed in the following episode, it would have been a nice hint at what was to come.