I also find this approach as not the best one. Basically it's inherited from Chromium core, where they decided, that they'll use "system" proxy settings only. In my opinion it's not lucky decision. Only easier way. For some user it's easy to have proxy set for whole machine in one place, but there's lost a great part of options with connection settings. Also it's basic setting in almost any software.
But there's one workaround using extension. There's no extension for Opera, but as Opera added proxy API, there's finally way to use Chromium extension, that work. There are some pullbacks, but you can give it a try.
Install Opera extension from here Download Chrome Extension.
Install Chromium extension from here Proxy SwitchySharp
This way you can simply switch between system proxy, custom proxy, or even add dynamic(auto) rules based on URL you're connecting to.
PS: I personally use PAC file for proxy settings. But it's much more complicated way for standard user.