Just to close this older topic...
There is noted inside UM11673 MCU-Link Pro User Manual at the end of 4.3 VCOM (USB to Target UART bridge) ...
"Baud rates of up to 5.33Mbps are supported."
I checked this with MCU-Link (non Pro) updated to latest firmware v2.245, and UART bridge is working fine on 4 Mbps.
EDIT:
It is also working fine on 4.8 and 5.33 Mbps.