So strange. To answer the original question, Dax was Sisko's highest ranking Officer during the occupation, so while it may never have been spoken on screen. I do wish that they had given her a Command Uniform for her tenure as Captain, but they do have the easy outs that there was a war on and bigger fish to fry, also, she may have wanted to keep the crew believing that Sisko would return.
The thing is, Spock wore blue during TOS, and Sisko himself was not promoted to Captain when he was initially given command of DS9. Ensign Kim could command some Lieutenants since he was part of the senior staff.
So, there seems to be a lot of wiggle room when it comes to rank and chain of command.