It seems the short war at the start of DS9 turned out to be a stalemate, and neither party made any major breakthroughs or had any major victories.
If the war had been prolonged, I think the Klingons may have had an advantage, and largely due to the cloaking device. A Federation starship would have to be on continuous battle alert, in the case of a Klingon vessel de-cloaking at will. I think this is why, in an albeit alternate reality, the Federation was on the brink of defeat in Yesterday's Enterprise. The cloaking device is a major tactical advantage to the Klingons and Romulans.
As for the Romulans, I doubt they'd give a damn. The Federation is their greatest enemy, so why shed a tear if it is losing a major war. In the Dominion War, the Romulans only did join since Sisko and Garak tricked them into joining. At the beginning of the war, the Federation was losing, it turned the tide slightly when it re-took DS9, but together with the Klingons was in a stalemate until Betazed was conquered by the Dominion.