USB - UART Windows COM Port
You are changing the BAUD rate of the serial signals put out by the device, not the actual USB communications speed.
USB speed and the UART serial signal speed are two entirely different things, they are not related at all.
Think about it as the actual device being a small black box (the UART) that takes USB signals in one side, and puts out slower serial signals on the other side.
The USB side will operate at the USB speeds of 12Mbps (USB1) or 480Mbps (USB2), while the other side is generally far slower and in the 120kbps range. In between those two sides is some buffer and electronics to say "hold up, wait for me to send this" to the USB side and to pass on data when received.