Sadly, the folder structure was completely lost
Yeah, Opera doesn't have folders. It has views, which are different. For a POP account, you only get an "Inbox" view and a "Sent" view. But, you're supposed to use the global views under "All Messages" anyway. Although, you can do what you want.
To simulate a folder, you create a label under the Labels access point. Then, in the label's properties, you set "hide these messages from other views". There's no import process that automates that. However, if you import each folder from WLM mail first and import Inbox last, you can do it in steps. You'd import one folder, create a label for it, move the messages to that folder and repeat. Then, when you import the Inbox, you just don't put it in a label. It's different, but it can work. Too late for that now for you though. But, you can create labels and organize message into them. Using the search field might help things move a long. Or, you can use rules for the labels to automatically grab messages, but I'd wait on that.
Opera Mail used to automatically create a label (called a filter back then) when you imported. But, that was removed a long time ago when things switched to labels.