Opera Mail is just Opera 12 with some browser stuff hidden to make it act like just a mail client. However, Opera Mail was never finished and the default client handling was never finished. Opera Mail was discontinued years ago.
Just use Opera 12 (where mail association works) and use it only for mail. On the programs tab in advanced preferences in Opera, add/set http and https to open in the default browser so clicking on links in emails opens them in the default browser. Opera 12 was discontinued a while ago too though.