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.