Are you able to reproduce the problem when you use "Menu -> Exit" and not close any windows individually? For each window you close by itself, except the last, you're supposed to lose everything in that window you closed. Then, the last window that's closed becomes the only one that's restored (on the monitor it was on) when you start Opera back up. It's just the way it works.

"Retain tabs from previous session" only retains what's still open when Opera is closed. Closed windows are not saved and restored. That's why you must use Menu -> Exit and not close any windows when using multiple windows if you want each window to be saved.

Strange hill to die on. This change which balks at the face of its users seems representative to me that those who operate this browser have decided not to make this browser function for its users, but for themselves.

I'm not sure what the catalyst was that changed Opera from being a user friendly browser to something that actively suppresses feedback.

Personally, I'm going to try Vivaldi. It seems that not only does it have this feature, but some other features I've been thinking about. It's frustrating as I thought this was going to be a browser I could use for a long time, but I guess it just didn't pan out that way.