I think you'll understand the sentence if you think of it this way: the word "of" does not go with "entertain," but rather with "opinion." You can "have an opinion of someone," or "hold an opinion of someone," or "entertain an opinion of someone." In general, when you're talking about people, the preposition that follows "opinion" is "of." To "entertain an opinion" is a somewhat literary usage; we can also say that someone "entertains" doubts, illusions, questions, ideas, etc.