"The Leonardo differs from all preceding boards in that the ATmega32u4 has built-in USB communication, eliminating the need for a secondary processor. This allows the Leonardo to appear to a connected computer as a mouse and keyboard, in addition to a virtual (CDC) serial / COM port. It also has other implications for the behavior of the board; these are detailed on the getting started page"
I do not know anything about the Leonardo except what I have read, but I would think that the baud rate affects the USB port if it is simulating a virtual (CDC) serial/Com port. and the data is being sent serially over that virtual port. But, hey! I am very ignorant of the ability of that board.