OK, my tests with a clean install of Opera 9.22 build 8800 and Spybot 1.5 are finished. I had the same results as I did with 9.21.
I'm not sure why I was getting my cookies deleted earlier. Maybe it was just the amount of cookies that was the issue. I'll do more testing. Edit: It is caused by the amount of cookies you have. I logged into about 5 or 6 different sites/forums/etc and only then did Spybot damage my existing cookies.
Anyway, Spybot is having an issue in Opera 9.21 and Opera 9.22 with reading the cookie data after Opera has saved it. It's possible that Spybot saves the cookies file in a format that Opera doesn't like, and when Opera restructures it, Spybot can no longer understand the data it had added.
I guess I could take a look at the structure of the cookies file, and see if I can figure out what's going on.