I think they left it open for the interpretation that Sisko could have visited Jake, Kasidy and maybe even Dax and others, in ways that are lost to time.

Jake’s holorecording and his book could have all been completed before Sisko returned. Or he did return prior to those being done, but Jake left those out of the record on purpose. In either case, Sam’s recreation of Jake from the record could not have been privy to what the real Jake experienced.

Perhaps Sisko even returned and finished living out a full and complete life with his family, but out of the public eye. It couldn’t be recorded it would have disrupted the Bajoran religious mythos too much. I would not put it past Dax to actually know what happened, but make it a point that for the sake of history and culture and religion, that the facts be forever shrouded in mystery. Dancing around the question of Sisko’s fate could be a deflection, not an admission of defeat.

“Solving the mystery isn’t why we study him.” “I did warn you it wasn’t solvable.” How would you know that for sure, Dax? Unless you’re part of it?