Now on 42.0.2374.0 - still no VPN (Opera is resolving the problem)
"Settings > Privacy and Security > Privacy > Clear Browsing Data > Delete 'Third Party service data'"
Doesn't help me.

After entering url, use Alt-Enter to open in a new tab.

Nope - no proxy
Wired connection to router (not wireless)
DNS & IP from internet provider

Opera Dev auto-Updated.
VPN still orange - VPN is temporarily unavailable. Opera is resolving the problem.

Only Windows Defender/Firewall.
Also, no extensions installed in Opera.

After I could not get VPN working on Opera Stable, it just kept saying VPN is temporarily unavailable.
After reading in the forums that it should be working, I tried the previous Dev version and then the Beta.
Still no connection.

Seeing this release note, I installed Opera Dev (64 bit) 42.0.2372.0 on Windows 10 (64 bit).

I installed as Standalone(USB) to avoid any leftover problems after uninstalling the previous versions.

When I try to activate VPN I have a continuous Orange indicator and cannot load any sites.
I still get the message VPN is temporarily unavailable. Opera is working on the problem.
By turning VPN off in the "Connecting" drop down, pages will again load.

I have tried Settings > Privacy and Security > Privacy > Clear Browsing Data > Delete 'Third Party service data'
with no success.