Opera has been going through a lot of changes in the last year or longer, especially after version 12, and I think they have a lot of unhappy users as a result. The video you posted was uploaded to youtube.com in June 2010, so it's simply out-of-date.
I was using Opera for quite awhile until they released some major changes after version 12. I've since drifted away from it. I think you might need to wait and see whether they restore the customization capability you want in future releases, and I suspect they will be doing so because they've been getting a lot of complaints from long-time users. You might also visit
http://forums.opera.com/ often to keep informed on what's happening with Opera.