@tjblues There are a number of vendors that maintain lists of URLs noted to have fraud or hacked-website complaints reported against them. Browsers that perform "malicious site" checks will use these vendor lists to flag risky URLs a user is attempting to reach, in the manner you're seeing. There are various criteria for a site getting listed in that way, and various mechanisms for sites unfairly listed to get themselves removed from the warning lists. Over time, I have come across a few sites that have managed to get onto such lists, but they are typically very few and far between in ordinary browsing. Moreover, I've never encountered or heard of such protection lists malfunctioning and mis-warning against broad numbers of legitimate sites.
So, while the 'protection' feature can be disabled in Opera, you should recognize that if there are large numbers of such sites you are encountering, that may raise a red flag about the nature of the browsing that is contributing to that. Even if one doesn't buy something or provide personal info at such a site, there is a real risk of hacked site code causing infection or crypto-mining on your system. (Just sayin'.)