Are there rules of thump of which baud rates can or can not be 'combined' to ensure a good Connection?
The only "rule of thump" is that the baud rates must match.
If you are using SoftwareSerial to read from/write to the bluetooth device, you will see errors at 115200. While SoftwareSerial CAN work at 115200, the Arduino can not be doing anything else at the same time that serial data is arriving.