I am seeing that faster advertising intervals will connect OK, and slower ones will consistently not. Specifically, a min-max of 0x1100-0x1250 works, but 0x1200-0x1400 doesn't, as well as larger values of course. I don't have any problem connecting to the peripherals with nRF Connect on Android, regardless of the advertising interval, so I thought that it was something I was doing on the Central.
I can understand that it takes longer to pick up the peripheral on the scan, but looking at the traces on the central (I'm using a pca10090 dev board), it's finding the device OK in the scan, and the call to bt_conn_create_le() returns OK, but I get a connection failure callback with error 2, which appears to be BT_HCI_ERR_UNKNOWN_CONN_ID in hci_core.c. It looks like this is coming all the way from the softdevice on the nrf52840, but I didn't confirm with the debugger.
Since the device was found on the scan, I didn't think it was the scan parameters, but I tried several different options just in case. I posted this as a reply to a similar issue someone had posted a while ago (https://devzone.nordicsemi.com/f/nordic-q-a/49906/10s-advertising-interval-and-connection/219116) but that probably was the wrong forum.
I'm using v1.14.99-ncs1 of NCS for both the peripheral and central.
Thanks,
Chris.