The bus used Lebombo border crossing. It was the bus company that was demanding to have visa before travelling and they told the requirement only after booking. They checked visas before boarding the bus in JNB and made list of passport and visa numbers for border officials. Don't know if they really would had denied boarding the bus without visa, I just didn't wanted to take risks.

I also assume that Mozambican border officials would still have issued visa on arrival, even that it's not officially available, as other have been able to get.