Make sure you have notifications turned on in Windows so the notification asking for your permission to pin the taskbar icon pops up so you can allow it.
So, when you goto the URL opera://password-manager/settings, you're not seeing a "Download file" button? Do you at least see your passwords listed at the URL opera://password-manager/passwords?
What version of Opera GX do you see on that computer as seen at the URL opera://about?