Totally agree that a DS9 movie would have been great to see, shame it never happened. However that's to solid writing, acting, and the foresight of the PTB everything was tied up at the end (though the mystery of what happened to Sisko there to whet the appetite).
They could always do a movie now, set years after WYLB looking at what the crew are up to. Then The Sisko returns to battle against a major threat to the Alpha Quadrant. Audiences would get to see Kira in action and understand what a real, strong woman in a Trek film is all about, not some whingy, manipulative cold fish.