Share your experience!
Hi,
seems that it's a common problem with Sennheiser sets:
http://talk.sonymobile.com/t5/Xperia-Z1/Bluetooth-audio-streaming-problem/m-p/407235
but I noticed that effect many times with other A2DP enabled devices - it's like the phone can't stream properly if connected while connecting at the same time. Stopping playback and reconnecting usually helps but now I'm sure it is a bug.. the bluetooth is very unstable yet. I noticed this effect while connecting to Bluetooth 4.0 devices only, and Z1 is one. Not sure why 4.0 doesn't work and any lower does.
Someone from the crew should forward this for some deeper investigation, please. This problem keeps coming back, and it's a little annoying to turning off and on everything like that.
For all others that have this problem:
I have found an app that speeds up the process of re-pairing the headset.
Its called Bluetooth pair and it costs money.
I use my phone for streaming music at work. Repairing the headset using the Android settings menu structure each time after I'm back at my desk is a nogo.
Using this app it's a one-click. Not ideal but at least usable for me 
https://play.google.com/store/apps/details?id=com.gnssoftworks.bluetoothpair
PS: I'm not involved in this app, just found it as an Android user.
I have created a small app that helps to bypass this bug.
Whenever a A2DP device connects this app disconnects it and connects it again.
This fixes this issue for my combination (Z1 + MM400-X)
You can download it here:
https://play.google.com/store/apps/details?id=de.devmil.xperiabluetoothmediafix
Greetings
Michael
Fixed my as well! 
Thanks!!!
Great to read!
I collected all Bluetooth headsets I could get my hands on and discovered that here only the Sennheiser has this problem.
Using this "fix" prevented a Philips to even connect properly.
So I updated the app. Now the fix can be enabled/disabled for each paired device.
The default is to not apply this fix so you will have to select your device again.
Greetings
Michael
Seem only multipoint BT devices have this problem, not sure it is related to the phone, because I noticed exactly the same effect when I connect such a device to any BT 4.0 player. Even the computer. With a BT4.0 dongle I have to reconnect too to make it work and avoid sound delays. WIth 3.0 and lower it's ok on the very same devices. Z1 has 4.0 so.. well.
I also found the app prevents my Sony SBH20 to connect "multimedia audio" profile, so it's good to see I can exclude it now (though I can't see the update yet, I believe it will appear soon). Only I can't use it in landscape mode (docked phone) because the icon is too big to see the button below it, but it is not a big problem, I won't complain, wouldn't dare 
Thanks again, great work mate!