@leocg YAY! Thanks man, it works! I followed instructions from this thread:
https://forums.opera.com/topic/5344/faq-how-do-i-add-a-command-line-switch-to-opera/2
https://peter.sh/experiments/chromium-command-line-switches/
"--save-page-as-mhtml"

But I'll keep old browser too, just in case.

@leocg How to add command line? For now I found Opera 12.15 installed on my old laptop. I copied it to the new one and fortunately saving in .mht works there, files are properly opened on new browser, so it's some kind of solution for now, but using browser this way is just annoying and rather unsafe. Is there any chance they bring it back? Or to get installation of previous version, installing it and blocking updates? Saving in mht/mhtml is something I use on daily basis since Opera 10.63, can't imagine doing it other way, because all my archives are based on mhtml.

Today I found myself unable to save pages in MHTML, I checked opera://flags/ and theres no such option anymore! How to restore to previous version of Opera? I need this function really bad.