You can add a shortcut to the BT settings. My wife's phone won't connect automatically either, so I added that shortcut for her.
I may have mentioned this before: but before froyo, things worked bang-on exactly how you might expect them to work. I could listen to music on either pandora or from my phone, and nav directions would cut in and out as needed. After froyo, things got all fuct, and nav would cut off music for all but a few select apps (the winamp beta seems to work. Pandora has since been updated so it works) The up/down worked for both pandora and local music. Even cooler, switching off of local music and/or pandora to my radio would automatically pause what I was listening to. The upshot of this was I could listen to the radio and cut to music quickly via BT. That doesn't happen now. And most annoyingly of all, my default music player starts auto-playing after initial connection, re-connection from other input source, or after I hang up from a call. this isn't so bad if I'm already listening to my music player, but generally my go-to is pandora.