I can only guess that a connection in the startApp() handler isn't really a better place than the commandAction :-/
The warning says you should create a new thread, because if the networking (BT) is blocking, your GUI might block as well.
Though this is just a warning! That means if you never created a new Thread before, you should probably leave it be for the beginning (threads can be a little bit confusing at first). The CommandAction() area won't hurt so long you're debugging - see if it works in general or not. If it's working, you can still create a new thread and process it there later on.
The posts above are unrelevant. I was trying to connect to the Arduino SPP-service before (like I was used to from C), but that did not work with my SonyEricsson Phone. Now I have two different projects that work fine with both SE and Nokia Phones with that JAVA-style btspp://id:ch connection mechanism.
Best,
Michael
Edit:
just to make that clear: of course there must be an application on the Arduino that somehow reacts to the stuff you send...