On Opera 12, the session was literally saved from the last closed window, so if your main tabs were in the window you closed first, they would be lost. Being used to this behaviour, I realised Opera 24 could behave the same with private tabs (which it unfortunately did in this case), so I instinctively tried to start the window I had just closed by clicking on the taskbar, which obviously only brought the private window to front.

I was using the latest version, however, I can't reproduce this bug now nor could I back then.
My sequence of actions was:

1. Close the normal window
2. Realise I had the private one open, and that on Opera 12 the last window was saved to the session file
3. Automatically attempt to restore the normal window by clicking on the taskbar item, obviously to no avail
4. Close the private window and
5. Start the browser again to find no saved tabs

My only clue is that the PC may not have closed the normal window fully, due to hard disk queue or other factors, before closing the private one (or even starting again), thus confusing which session was private and which wasn't. This needs some specialised testing I suppose.

Having switched from Opera 12 to Opera 24, I had the stupidity to expect the private window not to save the session (since it's private, you know), so I happily closed it after closing the non-private window. I was wrong. The result is my ~20 tabs are all gone, and since I had "Delay loading of background tabs" checked, I don't have my lost tabs in my history either. The session.dbak file was the same size as the .db file, so unfortunately I didn't try to restore it. It appears to me making a user's tabs not disappear after closing the private window would be a good idea. An even greater idea would be to reintroduce the ability to save sessions, like in Opera 12. Thanks in advance, and sorry for mentioning Opera 12, I know it's a faux pas.