Well, I must say i was spending the night looking for such thing.
I tried to disable parallel downloading in the opera://flags page thinking it might help but it didn't. If I start several downloads they will still download simultaneously. This feature seem to have nothing to do with what I was trying to achieve. It is maybe something that allows to download multiple chunks in parallel instead.
That would be great to be able to define a queue and being able to change its elements order.