Unfortunately, there's not enough information here to go on.
Can a proxy interfere with network traffic? Sure.
" I don't know nor understand what it is"
The message explained that Windows 8+ "Metro" apps and the Edge browser use a technology called "AppContainer" which usually must be configured to allow requests to go through Fiddler. Configuration consists of clicking "Allow all" and "Save" in the tool that it offers to launch. Notably, Visual Studio does not use AppContainer.
With regard to your VSO problem, it would be helpful to understand what, if any, rules you have configured in Fiddler, and whether you've configured Fiddler to decrypt HTTPS traffic, and if so, whether you've configured Windows to trust Fiddler's root certificate. Sending a traffic capture (File > Save > All Sessions) to us (Help > Send Feedback) would help reveal the nature of any problems you've encountered.
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