It's also a question of certainties vs. uncertainties. The Bajoran wormhole's Gamma end was guarded by an almost rabidly hostile star power with superior armaments; hoping that this star power should withdraw would be futile. The Bajoran wormhole's Alpha end in turn was guarded by an almost rabidly protective officer who had already destroyed the wormhole once, even if only in his dreams, and had sworn to do it again - this would be the hottest news when the Voyager visited DS9.
Nothing the heroes might face on the direct route to Earth would be as certain as those two major threats... There would be the possibility for nice surprises such as shortcuts home, and nasty ones such as meeting the Borg or something worse, no matter which route was chosen, but it doesn't pay to bet against certainties!
Timo Saloniemi
According to the timeline, only the colony of New Bajor, had been destroyed by the Jem'Hadar at the end of season 2. The true threat and nature of the Dominion was as yet unknown inbetween season 2 and 3 of Deep Space Nine.
Although Kes was attacked by Jem'Hadar fighters in a simulation while learning to pilot a shuttle, so maybe Caretaker did take place after The Search?
Consider the actual course they laid out for themselves, after the DQ, then into the BQ through to home.
Maybe the Borg, then the Romulans who hate them, and then the Klingons who Starfleet was almost at war with during season 3 DS9, and probably a dozen other species that Fire on Star fleet at first sight.
First contact is sometimes a hell of lot easier than established enmity.