dmjlambert:
That is not set, it communicates as fast as possible according to the Bluetooth 2.0 standard, using adaptive frequency-hopping spread spectrum. You are likely to get different performance out of it depending on how many other Bluetooth devices in use in the area.
So then why do I have to select not only a serial port in the Arduino IDE Serial Monitor or a terminal app like PuTTY, but also a baud rate? Is that the local baud rate between the BT adapter and the PC, and totally independent of the HC-05?