jonbrown - I've used the -private parameter on target line for many moons, with integrated Opera VPN and Block Adds checked in settings.
When I click taskbar icon, Opera will always start in private mode, with both Opera VPN and Block Adds active from the getgo.
One thing I learned from a prior thread, is that VPN will not be active if you close the browser with VPN off.
If browser is closed with VPN on and it doesn't return to that state when next opened, maybe your Opera setting "continue where I left off" is not checked?
One thing I did find when making changes, is to restart the pc and all's good. Hope this helps.