If you're unfamiliar with VPNs, the service allows you to create a private connection with a remote server that wants to communicate with websites that you are visiting. Instead of sending and receiving information on a public network where it may have been intercepted by a malicious actor, all of those exchanges are handled by the server.
Opera's built-in VPN uses 256-bit encryption to protect data. It also obscures a user's true location by connecting to servers located around the world. In the United States, Europe or Asia, or use a setting to automatically pick the best available connection. Opera is thus not promising to keep any of its logs of user activity, so it does not want to give any data in a way that might allow anyone to identify themselves on their online activity.