Thank you! It's actually good to hear that it's not me misunderstanding the feature. 🙂
I may have figured out at least part of what's going on, and it's a user-error on my part. The first time this happened (a workspace was deleted out from under me — still not clear on why it happened, but it may have just been a fluke), I went into the Window panel and restored that set of tabs. At that point, I assumed that this also restored the Workspace entry for that group — it does not (or doesn't appear to). Instead, it just restores them as new tabs in the current window. So then of course when I closed that window, there's no entry in the Workspace menu, because I hadn't told Vivaldi to create a workspace from the restored tabs.
I'll keep an eye on this and see if I can figure out anything else that triggers this behavior. (Now that I know it's supposed to work the way I was thinking, I'll try using it that way more and see what happens.)
Additionally, there was a good stretch there where Vivaldi was pretty "crashy" for me due to the Chrome bug that caused it to crash on startup if plugged into an external monitor/dock. Thankfully that bug appears to have been fixed (and thank you to the devs!), but it's possible the remnants of that have left some odd bits behind in my profile as a result.