I have heard of other customers mention this, but not all customers experience the same thing. Personally, I can stop the application, power down the vehicle, turn it back on (leaving everything connected) and it works fine. I know there is a reset command to the device ~ this was something we intended to place into 4.03, but we will integrate into 5.0. Have you tried leaving the interface in and simply turning the ignition key to the on position when attempting to connect? Also, what application are you using right now?
I think the instructions were written for the most extreme case when someone simply can not get the device to function. It's better to reset everything entirely if something is not communicating correctly.
edit: There was someone on the forum who mentioned this a while back and then followed up with "oh, nevermind, everything works" ~ it makes me think it is just a process issue on when someone starts the software/vehicle. I will put some time into this and follow up with you.