Yeah, this issue appeared to me too after the last update a few days back. I also immediately checked if the settings were OK, and they were; Opera is supposed to warn me if I try to close several tabs at the same time, but it doesn't.
I found a site which suggested the following solution:
Launch Opera web browser and type opera://flags in addressbar and press Enter. It'll open the hidden secret advanced configuration page called "Experiments".
Now click inside "Search flags" text box and type warn. It'll show following option in the result:
Warn on closing browser window with multiple tabs
If enabled, browser will ask for confirmation when closing window with more than one open tab. – Mac, Windows, Linux
If you want to permanently enable the new warning or confirmation message on closing multiple tabs, select "Enabled" from the drop-down box.
If you want to permanently disable the new warning or confirmation message on closing multiple tabs so that no one can enable/disable it using Opera Settings, select "Disabled" from the drop-down box.
Opera will ask you to restart the browser. Click on "Relaunch now" button to restart Opera.
This solution did not solve the issue, though. But at least you now know you're not alone with your problem. Let's hope someone who knows about these issues finds this thread soon.