OMG that was not intuitive at all! But I'll confirm what Leszekny said above...
Go to: Settings >> Connectivity Settings >> Bluetooth Settings / Bluetooth / Smartphone Apps >> Device Connection Order
Then: If multiple devices are listed, you can click on one, rotate the knob to move it up/down, and then click again to place it. Higher up on this list equates to increased connection priority.
Finally: Before this setting will be saved, however, you have to move the cursor ALL THE WAY to the far right menu and highlight where you see "DONE" displayed. It is not an obvious menu possibility! Do this by jogging the selector control to the right (note: rotating the selector will only cycle through the device list, so you have to actually nudge it to the right from this menu).
Then the connection order will be saved and retained.
This is the only settings menu in the CX-50's UX graphical user interface that seems to require this 'nudge-right' move to select "done" to save the setting... very frustrating.