For the WM1x walkman, only the Sony RMT-NWS20 works. And this is for some region codes only. The Rockbox listing shows what regions support the BT remote.To connect to the Walkman to use it as the receiving device you need to open the BT receiver option on the Walkman and connect through that rather than in the Bluetooth settings. Hope that helps.
Also works for the ZX300. Not sure if it works for other models.