Help: Can't use PDA to dial and headset to talk :-(

It seems that my T39m, and a K700i I borrowed, are unable to have a
call initiated from a Bluetooth equiped PDA and then have the same
call go through a Bluetooth headset.

I can either initiate the call from the PDA and use the phone handset
or I can make the call using the phone keys and use the Bluetooth
headset, but I can't use both the PDA and headset for the one call.

Is there some way that Sony Ericsson phones can be configured to make
this work?

....Graeme