You’re in for a really good experience. Gene Roddenberry had a very specific vision for Star Trek. The federation was his vision for humankind. He wanted us to be those people - at least, to want to be those people. So the federation became something of a Mary Sue. It’s something I really love about the show - it’s good to have a Lancelot around
DS9 has two things that set it apart from previous (and some subsequent) Treks. First and foremost, there’s a full story arc that travels throughout the series. It does have some more episodic, us, episodes, but it was the first Trek with a storyline that wasn’t about exploring the galaxy. TNG had some multipart episodes and some plot lines that ran across the better part of a season, but the entirety of DS9 takes place against a continuous plot line. The fact that they’re (generally speaking) not Boldly Going anywhere is kind of a metaphor.
It also explores some much darker themes than the other Treks, including colonization, genocide, terrorism, and what we might give up when we believe the ends can justify the means. It’s a side of the federation that Roddenberry wanted to reject, but I think having it throws his vision of what humans can be into even sharper relief.
Like with the other Treks, it takes about a season or so before the writers and actors settle into the characters. I happen to agree with you about Sisko. He’s the most military-like of any Trek captain I’ve ever seen. I’m not going to say anything else because you’re going to love watching everything unfold.