I have the same question too! I cant use wifi and opera vpn (iphone).
I cannot connect to use vpn when connected to the wifi network (no servers responding) and getting a message:
"Opera vpn coudnt connect
Well, this is embarrasing. Please try connecting again or selecting another region."
I can only activate vpn when connecting via the mobile network. Then the vpn works.
BUT if i then switch to back the wifi network, all network traffic goes via vpn and the mobile network. None goes via wifi.
ios 932, latest opera vpn app downloaded.
Edit. If there is a bug, you really should fix it. People who has data plans will get mad if their data is consumed when connected wifi networks.