The [VPN] indicator in the address bar in an InPrivate window is very misleading. It does not mean that VPN is enabled. It is actually a "button" which you can use to enable or disable VPN, and its color changes depending on whether VPN is enabled or disabled.
That might be why you think VPN isn't working -- because it's actually not enabled.
Here's a screenshot with VPN disabled:
Here's a screenshot with VPN enabled:
SUGGESTION: Hey, Opera developers, if you see this: please change the "no VPN" indicator to have a slash through it or similar, so that users don't think they have VPN enabled when they don't!