As I look at this further, it looks like Bluetooth is working even though it doesn't show connected on my phone. I have notice the same phenomenon when I connect my phone and Surface tablet. It connects and immediately disconnects on the phone (or appears to), but functionality like Bluetooth assisted hotspot/connection sharing initiated from the Surface still works. This may be a "feature" of the new low power Bluetooth. Cortana, any voice interactions or any ability to reply to messages, even with the keyboard do not work, however. Kind of a bummer that the latest phone doesn't work completely with MS' own devices.