They have something that works in Chrome and other Chromium-based browsers? That should work in Opera too, possibly with the "Install Chrome extension" extension.
Do other sounds in Opera work? The splash screen might be something a third party pop-up blocker would see as a pop=up (some anti-adware programs would have this feature), but the sound shouldn't ... it is possible in Windows to mute specific programs though.
Ah, you're doing it then. I don't know if exceptions apply to that,
The exceptions are under Site settings > Cookies and site data; see if adding sites under "Allow" will override the "Throw away on exit" setting, but I can honestly say I haven't tried it. (Alternatively, when on the site you can click on the globe or lock icon in the address bar to get settings for that specific site.)
What anti-virus (make and version) are you using? If other users have the same anti-virus as you do and are not having the same issue when it must be the sites you are visiting.