It's normal behavior for any bluetooth device that doesn't have Apple's W1/H1 chip (AirPods and beats)
The headphones should connect to the most recent device they were connected to that is in range.
So if you connect to your phone, the next time you power the headphones on they should connect to the phone.
The headphones only hold up to 5 devices, so if you connect more, the oldest devices are bumped off the list, and you'll have to fully re-pair them.
If you need to switch devices, the easiest way I've found it to put the headphones into pairing mode.
With the headphones off, press and hold the power button till it says "pairing mode"
on the phone you can then reconnect. Either through the control center (long press the wireless items in top left, then long press bluetooth, select the headphones) or through the bluetooth menu in the main settings app. You shouldn't have to do anything on other devices.
Same applies to the Mac, just select in control center/menu bar or in settings
on aTV, you have to go into the settings menu.
Apple does seem to have done a little "hidden magic" with the phone and the watch.
If the headphones are connected to the phone, no need to go into any bluetooth settings. You can simply select them in the airplay section of control center of the watch. The watch tells the phone to disconnect, and then the headphones will automatically connect to the watch. (I had previously paired them to the watch, the first time you connect you must use the usual way)
Sadly it doesn't seem to work the other way, I have to go back to paring mode on the headphones to get them from the watch to the phone. And it also only seems to be for the phone, tried it the the headphones paired to the aTV, but nothing happened.
I have the XM2s, I'm assuming they all work the same way.
It's a bit convoluted, and why the auto switch feature of apple's W1/H1 chips is really nice.
