Dear Ehsan, thanks for using our Xkey Air 37!
Regarding your questions:
1. The red led is for USB connection, so if you did not connect USB with your computer, it will be flashed (but slowly when you connect Bluetooth). So this is normal.
2. It is impossible for auto-connect in Bluetooth MIDI Standard, Apple designed like this way. But we developed an accessory for professional users, it is http://www.widibud.com . When you use WIDI BUD with Xkey Air, they will pair to each other automatically, also it will improve the latency. If you like it, please try it.
P.S. Please be aware that you can set battery save mode of the Xkey Air to OFF by using Xkey Plus, so that you do not need to reconnect it frequently.