The same is happening to me. The VPN feature used to work nearly perfectly until some point in version 45, and it's still messed up in version 46.
It's not just downloads, either. If you go to jtvshoutbox.chatango.com and let the page load, when using Opera VPN you will get this message after almost exactly 60 seconds (I used a stopwatch): "Unable to connect, please try again in a few minutes." (If your Internet service is good and your computer doesn't sleep automatically, you could minimize your browser with that page open and not see that message even after several days have passed. The message only appears when the connection is broken.) This tells me that all traffic over Opera VPN is getting disconnected after 60 seconds.
I really hope these VPN problems will be fixed soon.