I don't see Odo not following the law. For instance in "In the Pale Moonlight" Odo refuses Sisko's request that Quark not press charges against Tolar.
Not having an extradition treaty doesn't mean Bajor can't extradite a suspect; it just means the state that wants the suspect has to go through a judicial hearing instead of just asking the local law enforcement to arrest the suspect. So instead of kidnapping Dax they have to explain to the magistrate why Dax is still responsible for what happened in her previous lifetime, and the hearing is just as problematic as Tandro feared. It's not Bajor's reaction, it's the hearing going against him. As would probably have happened if not for the deus ex machina.
Odo and Sisko did apply Bajoran law on the station pretty consistently. When Kubus Oak showed up on the station, Odo applied the Bajoran "wanted" list and arrested him on the spot. Oak committed no crime in Federation jurisdiction, so Odo was applying only Bajoran law, and Sisko didn't complain.
Not having an extradition treaty doesn't mean Bajor can't extradite a suspect; it just means the state that wants the suspect has to go through a judicial hearing instead of just asking the local law enforcement to arrest the suspect. So instead of kidnapping Dax they have to explain to the magistrate why Dax is still responsible for what happened in her previous lifetime, and the hearing is just as problematic as Tandro feared. It's not Bajor's reaction, it's the hearing going against him. As would probably have happened if not for the deus ex machina.
Odo and Sisko did apply Bajoran law on the station pretty consistently. When Kubus Oak showed up on the station, Odo applied the Bajoran "wanted" list and arrested him on the spot. Oak committed no crime in Federation jurisdiction, so Odo was applying only Bajoran law, and Sisko didn't complain.