WoW!, this thread is sooo old, and yet the bug persists. I too keep getting mountains of these annoying folders building up in my downloads folder. I have no idea if they vanish on browser close or not as I never close my browser. I have rebooted a few times, and just tested after boot by opening and then closing Opera, so I can confirm they are NOT removed when closing Opera.
I guess the devs don't come here given how long this bug has been around.