I just ran into the same issue and the resolution is at: https://www.sony.com.ph/electronics/support/articles/00228887
If the headphone has already been paired earlier with a different device then in order to put it into pairing mode we need to hold the power button for 7 seconds.
Once i did that it worked fine.
This was my exact problem too! Holding the power button for less than 7 seconds makes the headphones connect as an "other device" in Bluetooth. But, holding for 7 seconds (as Sony states in operating manual) puts headphones in pairing mode (red/blue light flashes) and headphones announce "pairing mode." They were then immediately connected as audio device using Windows 10 Connect from action center as discussed in the troubleshooting tips above.