If you're on Windows, you need to go in Settings in Windows, goto "System", then "Notifications" and make Notifications are turned on and make sure "do not disturb" is turned off. Also, if Opera is in the list there, you need to click > at the far right of it and make sure its notification settings are correct.
If you don't have all that correct, you want get a notification from Windows asking you if you want to allow the pinning of the taskbar icon.
Also note that even with all that, if you're using a Windows 11 24H2 build, you might still not get a notification.
Also note that there's an issue that's been present for a while where Opera doesn't get a desktop shortcut for the profile and have have to use "restore icons" to get Opera to create one. But, that seems to be broken now too where "restore icons" only pins a taskbar icon (if you get a notification from Windows and allow it).
If you can't get anything to work, you can create extra profiles this way instead.