The Orbs and The Prophets
Events in the Show
During the majority of Sisko's visions from the Prophets, we see him surrounded by beings resembling people he has encountered in his life. Often there are more than half a dozen of these entities present during the encounters. Incidentally, there are said to be ten Orbs.
After a Pah-Wraith possessed Dukat transports into the Bajoran shrine onboard DS9, murdering Jadzia in his mission to attack the Orb and seal the wormhole, only one prophet ever appears to Sisko in his visions again... After, the Orb of the Emissary is found.
We're also told that following Dukat's actions, communication with the prophets is made impossible, and all the Orbs 'go dark'. I don't recall mention in subsequent episodes of the Orbs returning to normal after the Pah-Wraith is cast out of the wormhole, but this is implied; we do see Kai Winn interact with one later on (though it fails to provide her with a vision).
Physical and Metaphysical bridge
These observations suggest a direct connection between the Orbs and the wormhole aliens.
Much as the wormhole is both a spatial phenomena; a space-time bridge between far flung points in the galaxy, and the container of a non-linear space-time environment necessary it's extra-dimensional inhabitants to exist, perhaps the hourglass shaped Orbs are also more than they seem.
They resemble a crystalline frozen hourglass, another metaphor for the nature of their mysterious heralds. Their distinctive dual funnel shape also recalls the twin apertures of the wormhole, as though the vector graphic images had leapt from the computer console into reality.
Orbs ≈ Prophets
Perhaps they are a microcosm of the wormhole; mobile, encapsulated nexus points between the physical and meta-physical, where the rules of space and time cease to function as we understand them. They may serve as an extension of the will and influence of the prophets, akin to the probes sent out by federation vessels.
But could the Orbs be physical manifestations of the Prophets themselves? Multi-dimensional beings intersecting with normal space-time? Without the Orbs is there no way for the prophets to communicate with corporeal beings outside of the wormhole?
The prophets seem to be separate entities who appear to us as multi-faceted reflections of ourselves, not unlike a physical description of the Orbs. Are they separate from the prophets at all?
The Orbs were also sent to Bajor, and the Prophets often state that "We are of Bajor"; another strange connection between these metaphysical beings and the physical universe. They were found as far back as 30,000 years ago, shaping the fates of countless lives in the process.
Contact with Other Lifeforms
In the pilot episode "Emissary", the Orbs are almost spoken of by the prophets:
SISKO I'm not your enemy... I've been sent here by the people you contacted.
PICARD ALIEN Contacted?
SISKO With your devices. Your orbs...
PICARD ALIEN We seek contact with other lifeforms... not corporeal creatures who would annihilate us...
This tacit acknowledgment of the Orbs purpose as a means to contact insinuates that they are indeed devices as Sisko describes them, though this is speculative.
The episode also features an Orb acting much more like an alien machine: It scans Sisko and Jadzia (and Dax) before absorbing Jadzia, leaving the wormhole and depositing her back on DS9.
Several times in the series we also see the prophets or their essence emerge from objects, manifest as blue energy (or red for the Pah Wraiths). If this is the "true" form of the prophets, it would add more credence to the Orbs as devices concept, and less to this notion of them as multi-dimensional intersections into our reality.
Never do we see an Orb physically destroyed, nor do we see the potential signature blue energy motif of a prophet concealed within, though they are possessed of some dazzling inner light source.
The Orbs are named by the Bajorans after the nature of the visions they impart, names such as time, prophecy, contemplation, etc..
These distinctions strengthen a connection to the prophets as markers of the unique personality traits of individual beings.
I suspect these questions are left unanswered deliberately to leave us uncertain as to where the meeting place between faith and science exists, leaving the audience with irreconcilable unknowns.
Is any of this ever made clear canonically?