No Opera installer will remove Opera 12.x and earlier and its files from your system.
The default Opera profile (where your bookmarks and other personal data are stored) is inside a hidden folder. That's probably why you can't find it.
Opera 21 has support for bookmarks under the hood, you can enable a "bookmarks bar" in the main settings page. To manage bookmarks in the "root" folder (above the bookmarks bar folder) / to have a button to access it via a menu, an extension must be installed.
There's a way to import your bookmarks. If you're unable to use the bookmark importer from the menu "more tools" you can find instructions on how to enable it here - they're for Windows but you can do just the same on Mac OS X command line terminal.
I don't think there's a way to import the sessions (also, there aren't sessions anymore, only Speed Dial folders, bookmarks and Stash in the new Opera). You could open them via the old Opera and bookmark all the pages into different folders using its bookmark manager, then use the import trick above.