Conspiracy's cliffhanger was actually carried out later but in a different way than the writers originally intended. The signal that was sent to the reaches of the galaxy was supposed to bring in some sort of super race of insectoid creatures, but these later became the Borg due to budget constraints.
As awesome as it would be to bring in some sort of insect race into play, there's already too much going on as it is, I feel.
Conspiracy is a cool ep, and somewhat different to the other episodes that season. totally different feel and every dark. i still remember they would often edit out when the dude's head and chest exploded.
Why they had that as the penultimate episode of the season rather than the season final is beyond me. I suppose the attacks on the edge of romulan space was meant to be them preparing a full on invasion.
it was continued in soft canon in some of the ds9 books later. i think there is potential for them to return.
My impression was that the signal sent telling the Borg where we were was from an episode of Enterprise, where the Borg leftovers from "First Contact" obtained a ship and tried to take off for Borg space, but had to send a signal to Brog space just as Enterprise was destroying them. That effectively destoys the concept that the claymation scorpions from "Conspiracy" are the ones that sent the signal. Plus the next episode dealing with the missing Netral Zone bases seemed to imply that The Borg were already in Fed space on a Recon mission.