Casper, I talked with one of the folks on the engineering team about this today. Paraphrasing his email below:
1) You can add bookmarks to Opera directly on the device. (No account is needed.)
2) Web-based bookmarklets with javascript worked (Instapaper or Evernote for example). We suppose these are pushed off for processing on Opera's servers before returning to the browser on the device.
3) Unfortunately, our bookmarklet doesn't work, because it relies upon a feature of the iPhone OS that Opera doesn't support. (Specifically, we use this part:
Application URL Schemes.)
Opera Mini doesn't know what to do with our URL scheme, so it just decides that the URL can't be reached. This is something we could work around eventually by offering a server of our own, but in the short term, you may want to ask Opera about supporting device-level url schemes.
Arguably, it would make their app feel more natural on the iphone. :-)
Hope this helps!