Server name completion is totally broken in Opera 12.16. It never worked when I wanted it to (because then everything is treated as a search), but in this special case when I did not expect it.
Well, I could start a private browsing session in a temporary VM on an encrypted RAM drive ... but that is not the point. Point is, having one private tab, starting a download from within it and then closing the private tab cancels the download. If that is a privacy/security thing rather than a bug, the "sharing" between two independent private tabs would be a severe bug. More so as the "cleanup" is delayed even if all private tabs are closed.