The 19th May Firmware Update seems to have resolved this issue for me. Resolution is 2160 x 1440 before and after connection. That is with the pen, two different bluetooth mice connected (not at the same time) and a bluetooth keyboard. See below for fixes:
- Surface Pro 3 UEFI update (v3.11.850.0) includes changes needed for compatibility with the updated graphics driver.
- HD Graphics Family driver update (v10.18.14.4170) improves graphics performance and includes better Miracast (wireless display) support.
- Display Audio driver update (v6.16.00.3172) improves audio experience and supports compatibility with the updated graphics driver.