Also, the Borg gig is that they Keep. Coming. Back. like any good zombies. Pitting them against divine forces is courting a storytelling disaster: the Borg can't be made to stop coming, but OTOH any gods who fail to stop them for good (which is the only really meaningful way of stopping them) aren't living up to their own gig of having divine powers.
A slap on the wrist of the Dominion, followed by more of the original semi-mysterious semi-indifference, works fine. A slap on the wrist of the Collective... Results in us losing the Borg or the Prophets, conceptually.
That Sisko would have to come to grips with his tragic Borg past is a valid audience expectation. The writers sorta decided to deal with that within the pilot episode already, though - and then, much later, cleverly spun this into the Mirror Universe storyline where the late loved ones can spring back to life, compromising the moral integrity of the hero. DS9 got quite a bit of mileage out of that.
Timo Saloniemi