Reading the changelog for Opera's new UI it stated that the data saving toggle was moved to the overflow menu (three dots) but it's not present. Whilst I've never really been bothered about the data saving aspect I use it as it's the only way to use the ad blocker and some sites don't work when it is enabled e.g. www.xperiablog.net (these work on Firefox for Android with uBlock Origin enabled).

A nice feature improvement for the ad blocker would be the ability to exclude certain sites permanently or temporarily to solve this issue.