I have the same problem. I set the headset in pairing mode so the blue light flashes. I connect it in the Macbook using by adding a new Bluetooth device. The Macbook thinks it's paired sucessfully but the headset stil flashes as if it has not been paired.
I have also tried resetting the headset but it doesn't help.
Could it be that the new Macbook air is using Bluetooth 4.0?
I have no problems connecting my SonyEricsson BT headset MW600.