It sounds like “WebSense” may be preventing changes in the IE proxy settings through some undocumented or unsupported mechanism.
When Fiddler is running and in “Capturing” mode, click Tools > WinINET Options in Fiddler and click the “LAN Settings” button. What settings do you see? If they aren’t pointed at 127.0.0.1:8888 it means that WebSense is likely breaking the supported API for changing proxy settings.
You’ll want to talk to the WebSense vendor about how to configure their tool to use supported APIs and configurations.
If you’re only interested in traffic from Firefox or Chrome, you can typically configure them not to use the System (IE) proxy settings and thus point them directly at Fiddler.
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