Bluetooth MIDI is a preview feature for Windows MIDI Services. It’s installed separately from the service, API, and tools, and it is not yet part of a consumer release.
Bluetooth MIDI Setup connects this PC to wireless MIDI devices: keyboards, controllers, and instruments which speak Bluetooth LE MIDI. Once connected, the device appears in Windows like any other MIDI device, so your DAW and other MIDI software can use it straight away.
It also works the other way around. This PC can publish itself so a phone, a tablet, or another computer can connect to it.

There are three pages:
Devices appear on the Bluetooth devices page on their own. There is nothing to scan or search.
Bluetooth MIDI devices are found by listening for the advertisements they broadcast, and that has consequences worth knowing about, because it explains most of the times a device you own is not in the list:
Each device shows its name and what Windows currently knows about it:
Connect connects to the device and creates its MIDI endpoint. Windows also remembers the device, so when it comes back it is reconnected for you without you having to open this app again.
Disconnect drops the connection but keeps remembering the device.
Forget removes it from the remembered list entirely, so Windows stops trying to reconnect. Use this for a device you have sold or no longer use.
In the majority of cases, you do not necessarily have to pair a Bluetooth MIDI device in Windows Settings first. If the device is advertising, this app can usually connect to it directly.
Details on any device opens what Windows knows about it.

Keep endpoint when offline is the setting most worth understanding, and it is here because Bluetooth LE devices come and go constantly. They sleep, they go out of range, and their batteries die.
The question it answers is what should happen to the MIDI endpoint when that happens:
No one answer is right for everyone, which is why it is a setting. Keeping the endpoint is more convenient, especially for live performance. Removing it matters because applications written against WinMM or WinRT MIDI 1.0 have no way to ask Windows whether a device is present: the port disappearing is the only signal they get that the device is gone. If those applications matter to you, a device which vanishes silently while its port stays open is worse than one whose port goes away.
You can set this per device, or set the default for every device on the Transport settings page.

On the This PC page, Publish advertises this PC as a Bluetooth MIDI peripheral so a phone, tablet, or another computer can connect to it.

The name a remote device sees is this PC’s Bluetooth name. That is a Windows setting rather than a MIDI one, so it is changed in Windows Settings, not here.
The MIDI endpoint on this side represents the device which connected, so it exists only while something is connected. Until then the page says nothing is connected, and that is normal.
Protocol chooses which Bluetooth MIDI protocol to advertise. Only one is published at a time:
It is asleep or not advertising. This is by far the most common cause. Switch the device off and on again, and look at the list within the following few seconds. Many battery-powered controllers sleep aggressively to save power.
It is connected to something else. A tablet or phone sitting on the same desk will happily hold on to the device and keep it off the air. Bluetooth LE MIDI peripherals talk to one central at a time, so you have to disconnect it there first.
It needs to be paired. Most Bluetooth MIDI devices can be connected to without pairing, but some require it. Windows will usually prompt you when that is the case, so watch for a notification after pressing Connect.
Its batteries are low. A device low on power may advertise but fail to hold a connection.
Windows is remembering something stale. If a device previously connected and now will not, use Forget, then connect again.
If Bluetooth MIDI is not installed or not enabled on this PC, the app tells you so when it starts, and the rest of the window stays empty. Nothing here works until that is sorted out.
Sometimes a device connects, shows as Connected, and then sends nothing at all. Open Details and look at the message and packet counts, which tell you which half of the problem you have:
It may still be paired with another device. This is the most common cause, and it happens even though the connection itself succeeds: a device which is still paired with a phone or tablet will accept a connection from this PC and then quietly send nothing. Unpair it from the other device, remove the pairing from this PC, and then pair it with this PC again.
It may be in use by the older Bluetooth MIDI support in Windows. Windows still includes its original WinRT MIDI 1.0 Bluetooth MIDI stack, and for a device which is paired with this PC, that stack can claim the device first. In Device Manager, under Software devices, look for the MIDI Bluetooth In and MIDI Bluetooth Out entries for the device, and uninstall them.
Claiming by the older stack applies only during the preview period, while the previous Bluetooth MIDI support is still enabled. It will not be a concern when Bluetooth MIDI ships in a regular Windows release.