So, I have seen a few questions along the lines of "my bluetooth headset doesnt work" and also ran into that issue. After a bit of playing around today I can safely say why people are having issues. If this is already posted somewhere else please forgive me, because I couldnt find it.
To get complete hands free voice dialing without an extra application your bluetooth earpiece must support the Bluetooth Stereo Profile (A2DP). There are 2 sound systems built into the phone, the one that handles the actual phone calls (phone), and the one that handles everything else (multimedia). When you pair your headset, if it says it is connected to phone, you will not get true hands free calling. If it says it has connected to phone and multimedia (or something like that, not actually looking at it right now) then you will get hands free calling and the phone will ring your headset on incoming calls.
If your headset is as old as mine (h505) you may not even get phone calls to go across it. Even though at worst you should be able to use the bluetooth button after you make the call, my h505 wouldnt even handle the audio then.
Again, if this info is already around, I appologize, but I could not find it and thought all the new DX (and possible the other droid phones, though I can not test those) owners would want to know.