Thank You very much for Your tips. You indicated the right places where I should look for the cause. It's all my fault.
First of all I use clear browser data often and I did not noticed that I had checked "Site settings" option on clear browser data dialog. I had no idea it removes even this setting from opera://settings/cookies URL. But it's also good tip about the badge on the left of the address field.
I wonder it is option to exlclude choosen sites from execution of clear browser data option even when all options are checked there. It would be good if even of using it with all options checked it would avoid the clearing data from a defined white list with sites to be excluded.
For now all is correct for me. Thank You for Your help.