I have found some pretty convincing evidence of Bola?o's existence:
Muere Roberto Bola?o, un gran renovador de la literatura en espa?ol** :: e-barcelona.org :: F?rum de Cultura, democratitzem la democr?cia
Roberto Bola?o - Viquip?dia
So you must be right - this man is not a fiction, after all. There are indeed hundreds and hundreds of articles on him and his books on the internet. The books certainly are real. But there is still an aura of mystery about his person, despite all the details about Chile, Mexico and Barcelona.
I saw the YouTube interviews. My Spanish is not good enough, but he looked real enough. No denying that. But he did dabble in personality shifts or alter egos, like Pessoa, from what I gather.
After Arthur Valdes and others, I'm always a bit sceptical about writers whose biographies aren't immediately clear. But it looks as if you're right this time, Fausto.