I am a new air user and I have exactly the same issue with my iMac 27 mid 2011.

I can see my XKey Air 37 on the list in Audio MIDI Setup – BT, but my MBP 13-inch rejects connection.Whenever I click the button ‘connect’, connection couldn’t make it but it shows ‘connect’ button again.

Are there any hints?

With the bt let dongle I can perfectly use my iPad via bt midi, but the keys air rejects.