(1) I select English (United states) as the first language (en-us).
(2) I select Finnish as the second language (fi).
(3) I select [generic] English as the third language (en).

After clicking Done, I re-open the Preferred languages dialog and check that the preferred order is correct and click Done again. If I now visit any web site, Opera sends following HTTP header in request:

Accept-Language:en-US,en;q=0.8,fi;q=0.6

Note how generic English is preferred to Finnish even though I just selected the other way around.

Opera details:
Version: 40.0.2308.90
Update stream: Stable
System: Ubuntu precise (12.04.5 LTS) (x86_64; mate)