What's the practical difference? And don't say it's because it only affects Opera traffic: you can configure a system-wide proxy, and you can VPN a single program.
This is incorrect, at least it was in April this year:
The head engineer of Opera for computers Krystian Kolondra: “Currently WebRTC and plugins are still not routed that way”[0]
The technical difference between a VPN and a proxy is typically that the proxy works at the application layer (layer 7) of the network stack, whereas a VPN creates a new network interface and operates at the network layer (layer 3).
The practical implications (which you asked about) are:
i) With a proxy, there's no new system network interface, so no way for other apps to use it
ii) A proxy is application-specific (in this case HTTP and HTTPS) so other protocols (even those that opera supports, like WebRTC) can't go through it.
