You approved AVG's certificate? That should solve the issue.
When a virus scanner scans secure email, it has to insert itself between the mail client and the host. This is commonly referred to as a "man in the middle" situation, and since AVG's certificate doesn't match the mail host's domain name Opera warns you about it. But you can tell Opera that AVG is okay, and then it should stop warning you (it hasn't warned me since. I do use a different anti-virus than you but it should be the same.)
So I copied the mail-info into one of the accounts (which I will hardly use).
Not sure what you mean by this exactly.
The problem is that I didn't copy the Roaming folder.
By not copying the roaming folder, you'll just lose contacts, saved passwords and global mail settings for the UI. Your accounts, mail and read states are in "C:\Documents and Settings\user\Local Settings\Application Data\Opera Mail\Opera Mail\Mail". So, if you copied that over, you should be fine.
I had installed Opera Mail first on the new PC before considering to copy/move
If you had already installed Opera Mail, you'd delete/rename "C:\Users\user\AppData\Local\Opera Mail\Opera Mail\mail" and put the "mail" folder from WinXP in its place. That should be enough to get all mail and read states back etc. You'd just have to retype your username and password for each account when it tries to connect.