I agree we need an option to set the default search engine we want. Excluding such a feature in the name of a "security issue" is wrong. There are a lot of ways in which a user can choose to use Opera, or any browser, in an unsecure way if they really want to. Take for example accessing a SSL site with a certificate issue. Opera warns you that this is potentially dangerous, but if you choose to go ahead anyway, you can.
And that is how it should be. Inform the user, but ultimately let the user be in control. Also think about the fact that all other major browsers provide the option to customize the default search engine. Apparently they all agree that it's an acceptable risk.
And lem729, thanks for your suggestion about using an extension, but I think your point has been made. Yes, there are some alternatives, but those alternatives have drawbacks that not everyone is willing to accept.
Regardless of whether this feature is added or not, I think DuckDuckGo should be included in the out-of-the-box selectable default search engines.