I had the same issue, and asked HTC support about it. Here is their response:
>I understand you are trying to share files via USB between your HTC EVO 4G and Flyer. I know how handy it is to share media and I will be happy to assist. The paired but not connected message is normal since we haven't asked the two devices to push anything yet. Try opening up your Gallery (or other application depending on the file you wish to push) and select to share a file via Bluetooth and see if you can push the file. The two devices should then connect.<
(They say "USB", but my question was about Bluetooth, and the solution works).
I must add that it was a very quick response, too. I was very impressed. I know this is an old post, but I didn't see that anyone had found a fix for the problem.