When you click Yes
, you're taken to a document which explains what AppContainers are used for and why they can interfere with use of Fiddler.
You can use the utility to allow all AppContainers access to Loopback; this is only relevant for Win8 apps, as other applications do not use AppContainer. Allowing access to loopback does very slightly increase the attack surface of those applications (e.g. their slight increase in power could be used by an attacker) but this isn't something I'd worry about as a security professional. In any case, when done using Fiddler with a Win8 app, you can simply disable the exemptions using the same utility.
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