A proxy isn't as secure as a full VPN. I had previously read a really good article on it but I hunted and hunted but couldn't find it.
This explains it well enough though:
https://www.quora.com/Is-Opera-browser-with-built-in-VPN-a-g...
However, reading the write up from Opera it's actually pretty decent tech that they've had audited by a third party and the whole nine:
Why browsing with Opera’s VPN is safer https://blogs.opera.com/security/2025/07/opera-vpn-is-safe/
Hopefully no one will start with the whole "they're Chinese owned" argument. If anybody is still on that whole trip, see this (and go watch SomeOrdinaryGamer's video on the subject) but in short it's really nothing to worry about.
Debunking misinformation about Opera’s browsers https://blogs.opera.com/security/2023/07/debunking-spyware-m...