Heads up: connect HC-05's VCC to 3V3 — in practice 5V doesn't work.
The Bluetooth module only shows "connected" on the Bluetooth side when it's in a communication state. If you can't open the Bluetooth serial port, see: HC05和电脑蓝牙通讯
The HC05, the Python script, and the STM32 must all use the same baud rate — mine is 9600