I am indeed running Opera at the moment, and have quickly reviewed the EULA as well as the information provided by the browser itself and Opera.com. The third-party software refers to the various multimedia players that all browsers need for certain files such as shockwave flash and mp3 files, as well as a dictionary for example. I found no references for any out of country storage but I assume that refers to the Opera Portal, MyOpera, and Opera Mail functions, none of which are mandatory usage items.
"The source code modified by Opera is available for download at http://sourcecode.opera.com/gstreamer/."
Feel free to peruse it at your leisure, but since uncounted 'nix geeks and slashdotters have been doing so for at least fifteen years I think you can relax about any potential spyware being part of it.
Oh, and since they are based in Norway, that would probably explain why there might be some out of country links.