I purchased a Sony WH-901N blue tooth headphones and paired it with my phone. I worked perfectly. Then I paired to my Windows 10 computer but the sound and mic still went through my computer speakers and mic. In sound settings I could not select the headphones as my output device. The issue is the headphones can only be connected to one device. They can be paired with more than one device (phone and computer) but can only be connected to one device at a time. Since I connected to my phone first it, I could pair to my computer but it would not connect because the phone was connected to the headphones.
I went into my phone settings and selected "disconnect" for the headset. Be sure to "disconnect" and not "forget", "unpair" or "remove". Then I went to my Windows 10 blue tooth settings, removed the headset, and added it back in, though I am not sure I really had to do that. Anyway, when it connected it worked.
When I use the headset make sure it is only connected to the device I want it connected to. If It will not connect to the device I know I need to go to the other device and disconnect.