Yes, I am trying to pair it during a work out. It also won't pair before a work out. I have reset and deleted both my phone and watch, and even tried with a new HRM from a different brand. Same issue--it connects, but disconnects as soon as I leave the screen.
What's weird is that I can pair it with my phone, and it reads the data and saves it to my phone. However, when I am working out, it seems to mix up the Apple Watch HR data with the Polar data, and the Apple Watch is not very accurate at all, so it messes everything up.