"Does this actually works? In other terms, where is self.classes_ set"
Sorry, it should be

    self.lb_ = LabelBinarizer(...)

and I get the classes attribute by returning self.lb_.classes

"" Don't ravel"
Ravelling isn't what it look like here, I should have put.

    y = y[:, 0]

since LabelBinarizer returns a 2-D column array.