At the URL opera://settings/opera-gx, scroll down a tad and make sure "Run when my computer starts" is disabled to test if Opera GX stops running before you're logged in.
With that enabled though, Opera GX will add an entry to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Run in the registry so that Opera starts up when you log in as the Windows user you normally run Opera GX with. Opera GX shouldn't open before being logged in unless you run Opera GX as the System user or something weird like that. You don't "run as" Opera as "Administrator" do you? I wouldn't think that'd cause it either, but...
Besides checking the setting in opera GX, you can check the "Startup" tab in the Windows task manager or check that registry key above.
Anyway, if you get Opera to stop opening before logging in, you can go to that key in the registry, add a new string named "My Open Opera GX", and set its value to "C:\users\yourusername\AppData\Local\Programs\Opera GX\launcher.exe" (with those quotes) to control Opera GX's startup for yourself. Just replace "yourusername" with the name of your user folder in "C:\Users". Or, adjust the whole path if you have Opera GX installed somewhere else.
