I was able to resolve the issue and connect the headset. Many people have had this same issue, so perhaps this will help someone, here’s what I did.
Followed all instructions here for resetting your bluetooth connection: http://developer.choosemuse.com/hardware-firmware/bluetooth-connectivity/research-tools-bluetooth-connectivity#Bluetooth_Dongle_Recommendations
In PC settings, made PC visible to bluetooth devices
In PC settings, enabled bluetooth file sharing
Paired my headset with Windows 10 through notifications panel (ensure bluetooth on)
Turn off headset.
Open Muse Direct on PC.
Turn headset back on in normal mode.
Connect PC to headset via windows 10 notifications panel.
In Muse Direct, toggle bluetooth slider for my Muse headset
I also used a different USB port on my PC for the dongle as suggested in a different thread. Don’t know if that had an effect or not, but thought I should mention it.