Wynn, on the other hand, made no fucking sense. Sorry, but going from pope to satanist and shacking up with the face of the occupation? Jumping the shark, forgetting that she's a character with real (albeit, shitty) convictions and a past.

Oh no, see Winn served the Prophets her whole life. She believed she had given them everything. The problem is, Winn's religion was only ever transactional for her. Winn believed that she could work her way into heaven. She served because she believed she would be rewarded for doing so. She wanted power, but more than that she wanted to be recognized as the very best follower. She wanted approval from her gods, and she wanted them to acknowledge her above all others. It's why she was so jealous of Sisko from the very beginning, because Sisko never had to earn his position as the Emissary. He didn't even want it, and that made it worse - Sisko had everything she wanted her whole life, and he didn't value it like she did. Blasphemy. Winn is the embodiment of ambition and narcissism (truly an equal to Dukat), which I think she portrayed from the very first appearance of her character.

When she tried to talk to the Prophets through the Orb, and they rejected her because she had been tainted by the enemy, she knew that she would never get what she wanted from the Prophets. No power, but even worse, no recognition.

Because her religious practice was transactional, the other party of the transaction was replaceable, as long as she could get what she wanted. Trading the Prophets for the Pah Wraiths was simple, because the Prophets never really mattered to Winn, only getting what she wanted from the transaction.