That's definitely an angle which could have been taken, and (like a number of other unused areas to explore about a nominally sexless, amorphous being) probably would have been considered seriously if DS9 were coming out today.
With that said, I'm not surprised Odo chose to remain as he was. Odo is accustomed to being able to change himself... temporarily. He's never been stuck in any one form before, so it makes tremendous sense that 1) he'd be relatively risk adverse about making changes which he expects would be far less trivial to revert, and 2) he'd want to make sure he kept the shape that he usually holds, which everyone else recognizes as him. For Odo, his shape-changing ability is first and foremost a tool, and although he's willing to play around with it in relative private and in small doses, he clearly isn't interested in making himself any ostentatious features or he would have been doing that already.