May be a problem with JB TouchWiz. I've never had this problem with Jellybean-based AOSP ROMs or even the official JB TouchWiz update.
I'm just speculating, but are you sure that it's NOT supposed to do that? Maybe BT shutting off after the headset turns off is a feature that saves battery. Also, I hope you're not forgetting about the option you have to tick to make your SGSII visible to other devices with BT it's not paired with yet. It may seem simple, but it's easy to forget about it.