Perhaps the 9600 refers to the HC-05's Bluetooth baud rate when connecting wirelessly to your PC, and the 38,400 refers to the wired connection that the FTDI uses to connect the HC-05 to the PC?
The fact that when you connect the HC-05 to your PC via both BT and serially at the same time you have to use 2 different serial ports (on the PC & Arduino) suggests that it's possible to have 2 different baud rates, one for each.
But I'm just guessing here.