Novels and "Rapture" aside, considering that Sisko's mission was to actually help bring Bajor into the Federation, would you liked to have actually see Bajor join the Federation at some point?
We've never actually seen a world join on-screen. We've had a couple of potential members in a couple of episodes and movies ("Journey to Babel", "Attached", "Insurrection"), but that's it.
Yes, you could argue that it wasn't a huge priority, with the Dominion War raging in the latter two seasons, but it would've been nice closure on this thing they'd supposedly been working towards from the beginning.
Plus it would've been neat to see Kira, Odo, and all the other members of the Bajoran militia trade in their uniforms for Starfleet ones.
With all the references to Bajoran culture and society and DS9's general interest in cultural diversity, it would have been nice to see some sort of grand celebration, either Bajor joining or the Emissary's wedding. However, it would have been out of place if it were to occur during the 9-episode arc. The finale makes celebration and heroism difficult to hold onto.