Yeah we never saw them playing on the holodeck, just the two of them that I recall but we did see them in medieval princess costumes (?) coming out of the holodeck at one point. Still, the buddy times didn't feature like they did with Tom and Harry, Miles and Bashir.
We also saw them in holodeck spa together.
Plus, I agree with the idea that just because Kira & Dax didn't spend time playing holodeck video games like their male counterparts, that they weren't BFF's. It was clear too me from their playful ribbing of each other over men & relationships that they spend allot of time together talking and gossiping.