I have a few different sets of headphones ranging from cheap workout bluetooth ones to the over ear I use for work. None of them have the issues you imply.
They all happily switch from phone to laptop to other device, going in and out of range, etc
They all happily switch from phone to laptop to other device, going in and out of range, etc
They required me to manually disconnect from one device in order to connect to another (e.g. from laptop to phone or tablet). As far as first world problems go, it was a huge pain in the arse. And nobody cared to mention it in their reviews (found out later in forums it was just not supported).
I ended up preferring the AirPods Pro (and the slightly worse nc, but much lighter and automatically connecting) over them, and now I hardly ever use them. So those were $400 down the drain.
If those AirPods Max work like I want (which, judging from the AirPods Pro, they will), that would be a solid $500 spent without the remorse and dissapointment, which is much better than my Sony purchase...
The number of times I’ve had to pull my laptop out of the overhead compartment on a flight to turn off Bluetooth so I could pair them with my iPad meant I eventually gave up using them. As you say, definitely a first world problem, but I guess that just means I’m in the target demographic.
The new version (WH1000MX4, terrible naming scheme) supposedly have multi device support but I haven't experienced it yet so not sure if it's as smooth as the AirPods.