In my experience, it would have been a *major* hassle without software provided by the manufacturer(SE, in your case), but I only have experience with Nokia devices.
In practice, you had to set up the connection with Nokia PC Suite, but after that you can use Windows' inbuilt tool to connect.
So yes, Ubuntu is better at this
And if we'd have Blueman by default we could connect (arguably) even easier through bluetooth.
EDIT: PS. This post was made while connected with bluetooth to my 3G phone
Oh, and if you have bluetooth on your phone, do try out Blueman. It's really good! (There's a PPA on launchpad)
Bookmarks