Granted, it was early on, and could be brushed off as the writers not having a grasp yet on what they wanted the Bajorans to be, but the episode "The Storyteller" seems to contradict this. In the episode, a village believes that the Sirah alone has the power to defeat the Dal'Rok. The old Sirah even uses the Prophets sending for O'Brien to trick his protege into feeling ashamed for failing.
We come to learn that a piece of the Orb had been used by the Sirah to conjure the "Dal'Rok" to give the villagers something to unify against instead of being split by hatred and mistrust.
So here we have a situation with villagers believing in an evil and relying on the Sirah (ostensibly as an agent of the Prophets) to drive it away. Or, to put it another way, to exorcise it (for the year, at least).
Given the events of this episode, it seems very likely the Bajorans would believe in exorcism. Of course, we can explain it away by again saying it was early days or that it worked on this particular village, but the larger Bajoran population would not have fallen for it.