Bluetooth connection to Sony Bluetooth Headphones (Macbook Pro 2014 / iPhone 6s) I've purchased set of Sony Headphones (WH1000XM2). 

They are great, but I can't figure out how to have two simultaneous connections with my MacBook and iPhone.  The headphones will connect to either individually but not at the same time.  I want to have it that I can listen to music on the Mac, and answer a call on the phone when it comes in.  I have tried this with a PC and iPhone and it's fine.

I believe I need to create a A2DP connection on the Mac, and a HFP connection on the iPhone. That's based on the info here - http://helpguide.sony.net/mdr/wh1000xm2/v1/en/contents/TP0001513163.html
 
I've downloaded Apple's Bluetooth Explorer and tried various settings related to "Disable Hands-free profile" and "aptX" but nothing works. I’m at the stage where I’m testing random permutations as I don’t understand the options.  

Does anyone know if this can be done?  Headphones will be going back if not.
That's not the way Bluetooth works.  While you can connect multiple devices (multiple BT profiles) you can't connect them simultaneously.


  I want to have it that I can listen to music on the Mac, and answer a
  call on the phone when it comes in.


This is where Apple's Continuity comes into play.  You can have your BT headphones connected to your Mac and simultaneously make/receive phone calls and have them come through the headphones (or via the internal mic and speaker if you want).