While in POP3 the general idiom is "Download messages and keep them locally", with IMAP it's more "Keep messages on the server and only cache them locally for faster access". With IMAP you're always working on the server; whatever is stored locally is only for convenience and not a specific separate message location.
However, mail clients usually distinguish between server folders and local folders (which are distinct from the local cache for messages on the server). In Thunderbird that's named exactly so in the interface. So you might just be able to move a message to a local folder which usually deletes it on the server but stores it locally.
As a workaround you can also just keep the messages as files somewhere, which may not be ideal but should work.
P.S.: I can't test nor supply screenshots, as I've never used Opera and Outlook here connects to Exchange which makes essentially everything server-side.