Sisko didn't listen to the Dominion when they told him to tell the Federation to stop coming through the wormhole.
Well, since the Dominion war is obviously meant as the Trek equivalent to World War II, we have to consider that appeasement could make the aggressor more aggressive.
Had the Federation actually stopped from coming through the wormhole, the Dominion would have learnt that blowing up Bajoran colonies and Galaxy-class starships gets you what you want. If you push the Federation enough, they back down. We can't rule out the possibility that the Dominion would have invaded Federation space by the end of Season 3 instead of going the long road of getting a major AQ power like the Cardassians on your side first.