I had it once, too. But that was just a panel problem. As soon as I had the sidebar back the folders were there, too.
Now the bookmarks I didn't have in folders are still in my sidebar. Just the folders are gone which makes it strange.
I remember I had an Avira alert today. Put some Kazy thingy in quarantine but I'm 99% that I came across that googling for a solution to this problem. So it's not related.
I didn't do anything unusual, especially nothing in the system. And if so, the folders should still be in the bookmarks.adr.
What I did a little earlier was save a youtube video to the bookmarks. That's the most exciting thing I did with Opera today.
What seems weird is that I cannot find the folders anymore anywhere at all.