When the Dominion left the station, why did they leave it intact?

A logical reason would be peace. The Dominion lost access to any form of reinforcements after closing the wormhole. Also, it's not uncommon for a cut-off army to make peace deals (which the Dominion did, even though it was only so they could regroup for a counter attack on Coridan, Benzar and Betazed), and when making a peace deal it is better to have some good standing with the enemy. The destruction of DS9 would be a big middle finger towards the Federation which is not something you want to do if you are about to enter negotiations.

A other reason would be the strategic importance. After DS9 the closest base of operations for the wormhole would be Bajor, and a planet is harder to control than a single starbase. The destruction of DS9 would force the Dominion to occupy a world that is known to resist occupation, while for the Federation it would not be necessary to send an occupation force to use Bajor as a base, due to their positive relationship. That is, in the long run DS9 would be more valuable for the Dominion then the Federation.

And last, the Dominion clearly lost the battle, with the Defiant standing ready to attack and a fleet of starships on route. By announcing their retreat they effectively surrendered, which caused the Federation to respect their retreat. If on the other hand the Dominion destroyed DS9 which still housed non-Dominion people it might have forced the Federation to be more aggressive on their retreating enemies.

This being said, if DS9 were Romulan-/Klingon-controlled they would probably have used the self-destruct since neither of those have the close relations advantage with Bajor and would probably haven't shown the same mercy the Federation did.

While it would make a lot of sense to destroy the station from a purely military perspective and they almost certainly would have if DS9 were a purely Federation station, hell they even tried to blow up the whole Bajoran system that one time.

But the station was instead located in the formally neutral Bajoran system with many Bajoran citizens onboard and it's destruction would have been a clear sign to other neutral parties like the Romulans at the time that the Dominion would happily walk all over such agreements when it suited their purpose.

Perhaps during their brief hold on the station the Dominion couldn't access the self-destruct program. It isn't, after all, something you'd want to do a "test run" on. After all, Starfleet once activated the Cardassian self-destruct program by accident escaping by the skin of their teeth.