@caseyc0815
Usually it saves everything without any problem.
Do you have any kind of third-party security software installed?
When started (you don't need to confgure anything), take look at Opera menu - Help - About Opera screen - there you find profile path. It usually looks like "C:\Users\yourusername\AppData\Roaming\Opera Software\Opera Developer\Default", at least on W10. If you navigate there with windows explorer (copy-paste path), do you see couple of files and folders? If you close Opera, do those files and folders remain?