The temp files are deleted after a few minutes (or when you fully exit Opus).
(Deleting them as soon as you left the folder would be bad since anything could have been launched when you double-clicked the file, and the file might still be in use. Deleting it after a few minutes is a compromise between always causing problems with some tools and using too much disk space for too long.)
If you want full control over when things are deleted, extract them to a folder rather than double-click files within the zip, or exit Opus when you want to force the clean-up to happen ahead of schedule.