^Why should the Prophets care about Benny Russell? He's not of Bajor.
I'm an Occam's Razor kind of guy. The simplest explanation, the one that needs the least waving of hands and raises the fewest difficult questions, is that the whole thing was an allegorical illusion, that there never really was a Benny Russell. Frankly I'm startled to realize that anyone thinks there genuinely was. The possibility that he was a real historical figure never even occurred to me, since the parallels to Ben Sisko's own life were so blatant and pervasive. It was clear that we were seeing a version of Ben Sisko's life and his friends and colleagues transposed into a different place and time in order to symbolize something about his own life -- maybe Benny's struggle against implacable racism symbolizes Sisko's struggle against the seemingly unbeatable Dominion. It's like all those dream episodes on Gilligan's Island
or The Brady Bunch
, just more serious and potent.