@eric73 thanks again. Indeed I was expecting like a popup or message or anything. I just did bluetooth.connect(mac_addr) ad if connected, print something. And it turns out to that the connection was indeed established but silently yes.
I've just tried this code and managed to find my BT headphones with it. The issue could be that your devices don't use BLE, so the LoPy board couldn't find them. Currently, only BLE is supported. You can find more on this on the Bluetooth docs page.