HC05 baud rate confusion

I have this confusion that my HC05 BT Module works flawlessly in command mode when Arduino Serial is at 9600 bps and Software Serial (to which BT is connected) is at 38400 bps.

Now I changed the BT Module's baud rate to 9600 bps by the following command,

AT+UART=9600,1,0

. . and it showed 'OK'

But, when I change the software serial baud rate to 9600 ( mySerial.begin(9600) ), the BT module does not respond to the AT command. It responds only when ( mySerial.begin(38400) ) software serial is at 38400 baud rate. Why ?

Is is that the AT+UART-9600,1,0 applies only when BT module is in paired mode and not in command mode ?

I understand that the command mode is always 38400