I know this answer is really late, and probably not relevant to what the submitter had 3 years ago, but I found another possible reason why people may not get Fiddler to work, specifically in an Enterprise environment.
We are in the middle of releasing Fiddler. For my company, we are not allowed to download apps and install ourselves. We have to request IT to approve it and install it via ordering it from a software "Store" here at the company.
To get Fiddler to be available to "order" from that "store", we have to test on test machines. During testing, we could not get Fiddler to update the IE11 proxy settings. When I installed Fiddler myself, it would work, but when I had IT install it using the authorized install channels (what we were testing for), it would not work. Even when we try with users with Local Admin rights, and Run As Administrator, no luck.
At first we thought it was a Group Policy thing, but looking into it, it wasn't the case.
It turns out the IT people wrapped Fiddler in a VMWare ThinApp wrapper, an invisible VM sandbox to wrap the app inside of. I don't know what the benefits are of ThinApp, but it prevented Fiddler from being able to update the Proxy settings if IE11. When you enable capturing, and open WinINET options in Fiddler, it would show the Proxy settings updated. But when you opened IE11 Connection Settings, the proxy was not updated. Makes sense.
So the IT folks decided to release it as a "fat app" (that's what they called it) and now it works like a charm.
Just wanted to get this on the internet so that people are aware of it.