Not quite correct, I suppose. The VPN would have to send or not send the header. You don't know what Opera is sending to the VPN as it is encrypted, and the VPN could compress traffic to Opera without you knowing it. All you know is what your server sees or doesn't see - unless you've broken the encryption between Opera and the VPN.
For all you know, everything between Opera and the VPN is compressed. Unlikely, but possible.