I've seen the same thing but not quite as severe. Here's what I've found:
I bought a Bluetooth dongle last week to use with my iPAQ 1945. If I remove the dongle and reboot, I'll get the "can't open COM port" message. It goes away if I reconnect the dongle or plug in my iPAQ with a USB cable.
My thought is that ActiveSync can't handle having a disconnected COM port. You can get past the message (by using another method to sync such as USB). But, that's about it.
I was getting this at work and ending up turning off the "Allow serial cable... to this COM port" since I don't have the dongle there anymore.
You might want to check out some of the Bluetooth guides:
http://www.geekzone.co.nz/content.asp?ContentId=449
http://home.comcast.net/~spam-target/
Bluetooth is good but can be a bit flaky to get working reliably. My biggest gripe is that my firewall app (ZoneAlarm Free) doesn't support Internet Connection Sharing without changing the firewall settings. No big deal though for me. I can surf the net using the ActiveSync Bluetooth connection.