I can't find the VPN category in the privacy & security section in preferences. I also tried going on flags and searching for VPN but nothing came up. Where is it or have they just deleted opera VPN?
You may have the same issue with preferences that I did in windows. Try entering opera://config in the address bar, then it is under Privacy & Security about half way down. I don't see the Turbo option on the Mac version (it is mutually exclusive with VPN), so that should not be your problem.