Sisko was always a tough, strong commanding officer who didn't take any crap. He was also a committed father from the beginning, with a tender side, but this is a quality he nevers loses.
The demands of the war certainly brought out a harder edge in Sisko, but that is to be expected. In the early seasons, we see him working more often as a diplomat than as a soldier and general, especially in his dealings with the Bajorans, but again, that is more a question of the nature of the task at hand (establishing strong ties with Bajor), than a change in personality.
Avery Brooks certainly looks a lot cooler bald with the goatee, and he prefers that look, so probably he should have been allowed to go with it from the beginning, but I have to say I like how it turned out: Sisko's increasingly badass appearance seems to develop alongside the station's strategical importance, the Defiant's deployment, upgrades to the station's weapons systems, his promotion to Captain, etc.
The shortcoming of Sisko in the early seasons is that, for whatever reason, the writers can't seem to figure out what to do with his character after a strong start in Emissary, other than that he is an effective commander and a good father to Jake. In a sense, I guess you could see this as a sort of down period in Sisko's life as he continues to move past the death of his first wife, committing himself to his job and his son primarily in order to move on.
Second Sight, a mediocre 2nd season episode, is pretty important in that it's the first time we see Sisko develop a romantic attachment, and Jake says something to the effect that he is ready to have a motherly figure in his life again. This paves the way for Kasidy a bit later on.
Season 3 is where Sisko really comes into his own as a character: the writers establish the basic concept that "Sisko is builder" in every sense of the word: a builder of a family, of starships (the Defiant and the space sailor in Explorers), of alliances, of a home, of DS9 itself as far as its strategic importance is concerned.