There are two possibilities.
- You connect to a USB/UART bridge such as devices made by FTDI or Prolific,
- The microcontroller has a USB device controller and USB stack implementing the CDC/ACM device class (virtual COM port).
In the first instance, the bridge chip presents the CDC/ACM device to the host and exchanges data with a UART connected to the microcontroller UART. I/O control such as setting the baud rate have no impact on the USB connection, rather they are used to configure the UART link.
In the bridge arrangement, the bridge chip may be on the micro board, or it may be in a USB/serial adapter cable. Moreover internally the bridge chip is a microcontroller with a CDC/ACM device stack.
Unlike say RS-232, USB is not a peer-to-peer full duplex connection, and is not merely an electrical connection; USB requires quite complex device and host controllers and is more analogous to a device bus such as PCI than it is to UART serial connections. A CDC/ACM class device confirms to a specific protocol to allow a "virtual" UART to appear at the host. The UART you see at the PC is emulated, and is not physically the UART in the bridge.
The physical actual USB connection is a master-slave connection, with data and I/O control commands (such as baud rate and flow control) sent in USB packets to be unpacked, interpreted and transferred to the application layer via the CDC/ACM USB stack. In this arrangement the device, acting as a slave cannot initiate an exchange; rather the host continuously polls the device to which the device may return a packet containing its "tx" data. The polling and data rate of USB are fast enough to allow the simplex master-slave exchange to emulate a full-duplex UART connection, at higher throughput than can normally be achieved by a typical real UART, and certainly faster than a physical RS-xxx connection.
You can get an idea of how all this works by observing the raw USB data exchange using a tool such as WireShark. You will see that a lot more than just your application "serial" data is being exchanged.