I wouldn't particularly call him "dense", but it does take a while for his character to really spread his wings at the start of DS9. He doesn't have the same qualities as the other captains, but I feel that allows a bit more flexibility in which main cast gets the limelight.
This is all from memory-alpha
Sisko seems to have bounced between command and engineering throughout his career. He focussed on engineering at the academy, but also served as first officer on the USS Saratoga (a position he held at the time of the Battle of Wolf 359 against the Borg). Then he headed up a design team at the fleet shipyards.
He was nominated for the command of DS9 by a previous CO.
Bear in mind that at the time of his posting, DS9 was simply another deep space station, far from the more "civilized" core of the Federation, and Bajor was looking to be a backwater that was recovering from a military occupation. It wasn't exactly a prestige assignment.
Additionally, it would appear that the Enterprise was the major military command for the part of space near the Cardassian border (bringing in storyline from the later episodes of TNG), so a Commander would probably be about the right person for DS9.
I don't have much of an answer as to why Sisko was not replaced by a more senior officer after the discovery of the wormhole - but it's obvious that he was capable as he was elevated to Captain a couple of years later, and then became an admiral's adjutant responsible for planning and strategy in the war with the Dominion.