The error is not quite user-friendly. You really imagine you've now a big big complicated problem. More, when using your friend google, you only find a total of 20 results composed of asian pages you don't understand and… source code :) This really help you to think you're lost. That's obviously not the case. Just got to the bonding module configuration again. I've never mentionned how much "max_bonds" i wanted. The default is one, thus, only the bond0 interface was created. I just added the following at the end of the /etc/modprobe.d/aliases file:
Master 'bond1': Error: handshake with driver failed. Aborting
Now works as expected. Don't forget to read Documentation/networking/bonding.txt in the kernel source.
alias bond0 bonding alias bond1 bonding alias bond2 bonding alias bond3 bonding alias bond4 bonding options bonding mode=1 miimon=100 downdelay=200 updelay=200 max_bonds=5