+1 for implementing this as an optional feature, with the caveat that even when enabled the connection to sitecheck2.opera.com should be done over SSL.
I have been evaluating Opera as a potential replacement for my current browser, but while sniffing packets I was shocked to discover that all of my websites visits were being sent to Opera and many of them in the clear.
I think this is a very useful feature for those that choose to leave it enabled, but it should be a choice. It's might even be best to have it enabled by default. I think a "Learn more" link should also be required, which explains exactly when data is being collected, what it's being used for, who is collecting it, and how long the it is stored.