So you are not tring to pair a device for hands-free, it sounds like you are trying to use the OBEX file transfer protocol and if I am understanding you are trying to connect to another phone device, if this is correct once you pair a device under this situation the device does not stay connected to the device, it completes the connection when you attempt to transfer a file from one device to the other.
Try going to your file explorer and select a file to transfer and press and hold and select Share >> Bluetooth >> select Device name and connection should connect but it may ask for a acknowledge before transferring for other device... Try this and see if it helps..
Yes, it says "paired but not connected." However, once you start transferring files, they will connect. I've been transferring music and photos from my Droid X to my Droid 2 with no problems, even though at the onset, both cell phones say that they are not connected. I guess it's like Wildman says, they connect when file transfers are in progress.