According to the neo4j documentation:
CREATE UNIQUE is in the middle of MATCH and CREATE — it will match what it can, and create what is missing. CREATE
Here is how you can do it with CREATE UNIQUE
MATCH (a:Person {name: 'Alice'}), (b:Person {name:'Bob'})
CREATE UNIQUE (a)-[:knows]->(b), (b)-[:knows]->(a)
You need 2 match clauses otherwise you are always creating the node in the CREATE UNIQUE statement, not matching existing nodes.
This query should do what you want (if you always want to end up with a single knows
relationship between the 2 nodes):
MATCH (a:Person {name: 'Alice'})
MERGE (b:Person {name: 'Bob'})
MERGE (a)-[:knows]->(b)
RETURN a;