It is not canonical, however the source of Molesley and Bates working together comes from deleted lines from series 1, episode 2. The Exchange is:
ANNA: I wonder what that Mr Molesley makes of them.
WILLIAM: Mr Bates, you know Mr Molesley, don't you?
BATES: I do. We were footmen together. In a house near Stafford. Before the South African War.