The whole point of Opera Mini as an app is for them to rearrange your content; complaining that they can see the content seems schizophrenic.
edit: Though I do agree - I would trust them a little more if they were a little more outspoken about the security implications of what's going on.
edit: this is not a swipe at the iPhone, but support for the statement that using Opera's severs is not a functional requirement.
Once we assume the CPU and memory of the iPhone can handle it, doing it that way would be faster since there would be less latency involved.