Just in case someone just navigate to the last page, the latest dev version's VPN does not work. But the VPN in the previous version works. Here's the link.
To stop auto-update, rename operaautoupdate.exe in C:\Program Files\Opera developer\39.0.2226.0 (or wherever Opera Developer is installed) to something else, such as operaautoupdate.exe.bak
Credits: previous guys who posted these. at https://forums.opera.com/topic/15278/opera-developer-version-39-0-2234-0-vpn-issues