Meh. Italy have no data retention laws. EU also has good laws for customer data privacy. Air does not run any servers in Italy so they cannot be forced to log anything in a different country. The most Italy could do is subpoena for user info but that would amount to an email (can use a fake one) and maybe credit card/paypal if you didnt use crypto.
Read this to get some insight
Have you played watch dogs
With some tinkering you are able to hack phones through wifi connection like in the game
vpn's are really useful when being in foreign countries or any place where you need to use wifi instead of cellular data so you can use unsecured wifis without so big of a worry.
Most of those sites use HTTPS though so Opera would not be able to see any plain text. It would be encrypted end to end. Take a look at these firefox tweaks so you can even encrypt your site requests so everything is hidden