What version of SEP are you running?
Fiddler is a Web Debugging Proxy which logs all HTTP(S) traffic between your computer and the Internet. Fiddler allows you to inspect traffic, set breakpoints, and "fiddle" with incoming or outgoing data. Fiddler includes a powerful event-based scripting subsystem, and can be extended using any .NET language.
In Symantec Endpoint Protection client , check under Traffic Logs under Network Threat protection if there is any traffic blocked.
You could also try disabing the Network Threat protection feature OR uninstall the feature from Add / Remove Programs and check if the Fiddler works.
Hope that helps!!