You can try changing the sensor connection type. How are your sensors connecting?
I have a Windows PC, too.
I had my trainer, HR, and Cadence sensors all connecting thru BT. It always takes a few seconds for them to connect through BT.
I was getting interference so I switched my HR and Cadence sensors to Ant+. Now they connect immediately while my trainer connects after a few seconds. And like previously suggested, I will turn everything on and start pedaling before I hit play to ensure they are all awake.
So for me with this setup, but separate HR and Cadence sensors always connect first and then my trainer connects and they stay connected correctly every time. Except of course when the trainer decides not to connect and I have to turn it off and on again. But the setup gets remembered from session to session every time.