Relatively, Bajor is pretty 'far out' if you use Sol as a central point, but the Federation found an interest in them.
Bajor doesn't seem to be physically distant from Earth - according to dialogue and events, it only takes about a week to get there in a runabout or like vessel, and less than that in a proper starship. (Say, Jouret VI, credited in "Best of Both Worlds" as being one of the outermost colonies of the UFP, is potentially also about a week away - but counted at the top speed of Starfleet's mightiest vessel, which may well move thousands if not millions of times faster than a speeding runabout.)
It's more like Bajor was psychologically distant: there was nothing interesting there,
and she was being occupied by enemies of the UFP but the Feds weren't in a position to do much about it and probably felt embarrassed about that.
In contrast, the Sheliak are in
Star Charts associated with Beta Lyrae, which is a real star far away (950 ly) and is often called by the name Sheliak in the real world. This may be a false connection, of course, and the similarity in names is mere coincidence...
The colony claimed by them was Tau Cygna, which also need not be the real Tau Cygni which is just 69 lightyears away.
Timo Saloniemi