Odo shows once again that he is completely unqualified as chief of security - and not only because he never carries a sidearm and is knocked out constantly by bad guys.
Although he claims to be on no one's side and only serves justice, he does not not. He bends justice whenever he needs to. May it be, because of his own moral compass (like when he let Croden escape in S1E11 although he commits homicide while he is present to witness this perfidious crime with his own eyes), or just because he needs an inside man in blackmarket operations with Quark. He even let's Quark sabotage the station unpunished like in S2E4 or always keeps an eye shut when he runs his illegal business including theft, blackmail, gambling fraud, unauthorised security access to the station and contraband.
This time Odo keeps the secret about Major Kira's murder because they are friends. It does not matter if Kira wanted to find out about collaborators or not. She killed Vaatrick because he surprised her when she tried to steal a list with names from him several years ago. There is no justification for that, even though Kira says "I had no choice". Yes, she had. She could just not have killed him instead.
The whole station feels like an Eastern European country during the Soviet era: A place full of nepotism and partisanship. Basically no misbehaviour or crime on this space station is ever punished as long as one of the main characters is involved. There are never any official investigations by Star Fleet either afterwards. They can use runabouts whenever they want for their personal business or access any data on the computer. And Star Fleet rules don't seem to apply on Deep Space 9 either. Half the crew should have been either already demoted by now or dishonorable kicked out of service!