Same here. If VPN is enabled, downloads abort after some megabytes (most of the times at around 10 MB) if they are handled through an SSL protected download connection. VPN enabled downloads without SSL protection work for me.
'Current Session' and/or 'Last Session' may be corrupted. Try deleting them so new ones will be created.
Also, you should remember that Opera only remembers the content of the last closed window so be sure to close the one with the tabs you want to keep after all others.
It could be, that the easy list you are using, or actually the Adblock that is using, wasn't updated, you can try adding it manually, and see if you get the same results. Weird though, in both cases, it should have been blocked if it was an actual advertisement and not just a picture. What other Adblock are you referring to?