This is the Opera browser opened from the desktop shortcut:c9fcc433-d718-4099-91de-35447fba0af3-image.png
This is the Opera browser launched via Selenium, and it doesn't show any warning when accessing dangerous websites:
b1ed2f1e-3dbc-4222-ad5f-55b435dbf7f6-image.png
The option to defend against malicious websites is enabled by default, but it doesn't seem to have any effect.
8748f234-208c-4ecd-a341-db46f67a6e55-image.png