Opera's VPN, like most free or built in VPNs, is a terrible choice. Using it makes your privacy worse, not better. Using it redirects all your internet traffic via Opera's servers, and they monitor all your traffic and collect and sell your data to third parties.

If you aren't paying for a service, then you are not the customer, you are the product. Free VPNs are spying tools. A good VPN costs only a few dollars a month.