The Bluetooth isn't persistent, and will forget your device after powering off ..
It should connect reasonably quickly once you hit the connect button (they do all light up thou....)
Which headset are you using ..? I find its ok with my A20's (later model), but now and then do have to scan twice to pick them up …
I did save the URL that the connection button produces (as a shortcut on the ipad, but you need to be quick to get it to copy) and do use that now and then - saves hitting the wrong button after the scan ...