Looks like I've found what's causing the issue.
It's the Adguard extension.

Removed from Opera and now everything is back to normal.

Latest version, the profile is stored in the default folder (%appdata%/roaming/Opera).
The issue is now happening on closing and reopening Opera, not only just on reboot.

I suspect that it begins to do this when I sync with my opera account.

Hi guys, I'm having this problem. Since yesterday Opera can't keep my setting. When I reboot it starts with the default settings, no bookmarks, no extensions, nothing.
I've done a clean install, cleaned folders and registry too. Can't sort this out.
Ideas?