Exchanging pieces may not always be best when you're up material

The position above arose in an OTB game I played recently. I was white and it was my move. I have a knight for a pawn and was taught to exchange pieces (not pawns) when I am ahead in material. So I played Bd5 and managed to exchange the bishops. Game review says that Bd5 is an inaccuracy and that I should have played Be4 instead. In the game, I ended up blocking black's b pawn with my king and guarding my kingside pawns with the knight. I ended up sacrificing the knight for a black pawn, queening first and winning (https://www.chess.com/a/38AtiAGSrAhHp/review?move=61) but it was much more difficult than I expected. I am still trying to figure out why Bd5 was incorrect. I guess it allowed too much counterplay. How can I learn from this mistake? Should I just calculate more? Or is there some general principle that I could have used to reject Bd5?