Never Give the Captain a Straight Answer: Odo calls Sisko to the promenade and says he'll "let [Sisko] be the judge" of whether or not what's going on is a problem. Somewhat Justified in that only The Sisko knows whether or not a Prophet possessing Kira is a problem.
Oh, Crap: Sisko's reaction to the Pah-Wraith possessing Jake.
Poor Communication Kills: Just out of curiosity, why didn't Sisko mention the Reckoning to Winn earlier in the episode? Things might've gone more smoothly between them.
It's possible that this was the case for Jake as well. He had, in the past, made no secret of his discomfort, and even anger, with the Prophets for what they were doing to his father. While the Pah-Wraith may not have bothered to ask Jake if he wanted to act as its host, it may well have sought him out because it thought he would be more receptive to it than others would have been.