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The political situation in the region is incredibly complicated - if Bajor is interested in prosecuting, they risk a renewed conflict with Cardassia, which neither they nor the Federation particularly want. On top of that, many Bajorans are skeptical of the Federation and its intentions, at least in the early days.
Plus...did Dukat ever "visit" DS9 (as in, physically board the station) without explicit authorization from the command staff?
Yeah, at least in the beginning, Dukat only ever lurked nearby, menacingly. The first time he set foot on the station was to help Starfleet deal with what turned out to be the beginnings of the Maquis, during a conflict in the DMZ. That was also incredibly complicated. (Edit: and everyone was pretty pissed that he was the one Cardassia sent).
Everything on DS9 was incredibly complicated. That’s why I liked it so much. 
"It's just a station? That stays in one place? How can it measure up to the galaxy-spanning adventures of TNG?"
Three seasons later it had its hooks in me and wasn't letting go.
Staying in one spot was an asset, it helped justify recurring guests and villains if everyone’s in the same neighborhood. There’s no way the Kazon should have been bothering Voyager after Season 1 if they had been making a bee line for the Alpha Quadrant.
That always bugged me. For a "primitive species, unworthy of assimilation", their ships must be incredibly fast...
I could think a good scenario where small fleet of Kazon (or other pirate-like enemies) pursue Voyager far beyond where they first encountered, nipping at their heels and causing trouble sporadically... but yeah there's no reason Voyager should have been always in the heart of Kazon territory.
Add to that the fact that they weren't a very compelling bad guy in the first place and, well, we get what we got.
Maybe that's part of why the Borg never bothered with the Federation much? They weren't actually worthy of assimilation until they started developing drone separation tech.
Babylon 5 showed a young me that space stations were magnets for trouble while ships had to see what they could find.
To be fair, DS9 had far less to do with exploring space and much more to do with the intense political intrigue of one specific part of space.
One of my favorite fun facts to throw at people who dismissed DS9 for that reason is that TNG actually has more bottle episodes (where the ship in effectively "goes nowhere") than DS9.
As my first lemmy comment:
I wish my dad would understand this. Trekky through and through EXCEPT he refuses to watch DS9 because in his view it CAN'T be startrek. Actually insane.
The Federation also has no party in the fight. It's not implausible that if Bajor were to kick off a new conflict with Cardassia over DS9, they might just leave to avoid intervening in the conflict, and then the Bajorans would be in a pickle.
First time he steps foot back on the Station was in Cardassians when he’s there as a representative of the Cardassian government. Would have caused quite a stir if he was arrested then.
More of a stir than Darhe'el, who they were willing to arrest? (Though obviously that situation was much more complicated in light of who he actually turned out to be, it just serves as precedent)
In "Duet," Kira acknowledges to Sisko that her detention of Dar'heel violates policy, and may in fact be illegal.
Why they never arrested Winn? /s