Hspa is 3g, a lot of ROMs change the logo used to show the data connection. For example I'm running virtuous unity Rom v1.3 and i never get the h+ logo anymore i just get an H or 3G logo. Your actual connection speeds shouldn't vary
The Desire HD based roms won't show H+. The H+ is Inspire specific, so you would need an Inspire based rom or one where the dev has cooked in the H+. This will vary with the different roms you flash, as will the 5 bars vs 4 bars.