I know you said "CPU" and not "disk", and I'm assuming you're talking about when all the feeds update at once on startup. But, just for kicks, close down Opera and edit operaprefs.ini (See "Menu -> Help -> About Opera" for the location). Under the [Mail] section (add it if it isn't there, but it should be), add the following and save.
Load Mail Databases Asynchronously=0
It shouldn't help your situation (especially in the standalone Opera Mail) and should only make mail start up faster. But, I'd try it anyway just in case the default of 1 has any extra tweaks for feed loading/updating. Again, I don't think it'll help your situation, but you can try.
One thing that might help is checking the database.
Another thing that might help is defragging your mail folder. See "About Opera" for the location. Close down Opera and *copy* the "mail" folder to "mailnew". Then, delete "mail" and rename "mailnew" to "mail".
Besides that, you can try to monitor what feed (if any) is causing Opera to use more CPU. Then, you can delete it and add it back in to see if it helps.
You can close down Opera and edit accounts.ini in the mail folder. Under the section for the feeds account, you can set "Initial Poll Delay=" to a higher amount of seconds to delay feed checking on startup where you only go to the feeds you want before-hand and choose to refresh to get new feeds for those. Not sure if you'd want to do that though.
You could change the update interval for some of the feeds so they don't check as often. But, that'd only work for some feeds that don't get a lot of posts.
How many different feeds are we talking about and how many stored messages in each? Opera can handle a lot of messages no problem, but not sure how much we're talking.