I hope you all know that Chrome has made it very tough to install extensions from third party websites. May be you don’t know this, but Chrome had (without any information) blocked all the extensions that were hosted on third party websites.
Similarly Opera is also taking the steps to block the installation of third party extensions. However Opera will notify its users before implementing these changes. Actually both the browsers have taken this step because of the security reasons because while adding extensions from other websites as it might transfer some malware to your system.
Basically Opera found that some users are creating Opera‘s extension framework to build malware, though Opera reviews the code of extensions submitted to them and they only approve it if the extensions follow their guidelines. Since Opera does not have control on any third-party websites and it is likely that user can easily click OK when a security dialogue is shown by the browser this will put the user in risk, if the extension is malicious.
Thus this change is necessary from the point of view of the user. Also if the user understands the risk, then the users are required to white list the sites from where they want to get such extension. By default, addons.opera.com will be white listed.
Unlike the Chrome browser the user will get to know about this change as soon as it is implemented in the browser. This could be inconvenient for users but this decision has been taken in order to improve the security of the users only.