You shouldn't have any problem capturing HTTPS calls using a Windows Phone device, if the phone's proxy settings are set correctly, and you've configured the phone to trust Fiddler's root certificate.
Did you write the application in question? Are you sure it properly adopts the phone's proxy settings? (Some frameworks might not do so automatically).
I'll also note that you're a Microsoft employee-- it's worth mentioning that getting Windows Phone to send traffic to Fiddler usually requires an IPSEC boundary exemption for the Fiddler-running machine; however, this would cause ALL requests to Fiddler to fail, not just those from one application.
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