If you enable Sync, then of course the data you told it to sync gets sent to Opera. The malware and phishing warning sends your page URL to Opera as well, but only for comparison to their list of known malicious sites and it is not kept (and can be disabled under Advanced settings if you are really worried about it). There's also telemetry data (which features get used) to help them decide development priorities and so on - see the options from Settings > Security & Privacy in the Privacy section (make sure you tick the Advanced setting checkbox to see all of them).
While you might think that's quite a list, they operate under Norwegian law which requires that personal information can only be used for the purposes that were stated and must be destroyed as soon as it is no longer needed. As a moderator I have gotten a few Christmas presents from them (T-shirts and the like); every time they had to ask for my address again since they did not keep a record of it. If you don't use Sync, the only personally identifiable information they will keep from you will be your registration here.