Not sure how apple devices "just switch", it might be that they have multi-device bluetooth; or they have custom hardware.
But other devices are very "sticky" with their BT connections. My approach is mostly to turn off bluetooth one one device when I want to switch to another.
I am sure the Apple stuff works well too but let's not pretend that they are doing anything unique in this space.
If your phone to PC handoff works after calls in a way you like, I take it as you just have a use case where bad behavior works in your favor.
After all, what happens if someone wants to continue using their phone audio after the call?
Or use BT with their phone outside of a call?
But Peloton remembers your previously paired audio devices per user; so if someone else uses the bike and has never explicitly paired that set of headphones, they'll show up as an option, but won't automatically pair