I'm not really sure I understand the issue you're reporting. What browser are you using? Why would you manually adjust the browser's proxy rather than letting Fiddler handle it?
Fiddler's "Capturing" setting (File > Capture Traffic, or click in the status bar) concerns whether Fiddler is registered as the system proxy. That setting obviously has no way to prevent a client from manually directing its traffic to Fiddler. If you really wanted, you could use an AutoResponder rule to force all traffic sent to Fiddler while "capturing" is off to fail, but this would probably break your applications and it's really not clear how this would be of any benefit.
If, for whatever reason, you want to manually change your browser's proxy settings so that they point at Fiddler, but don't want the resulting traffic to be seen, change the "All processes" dropdown in the status bar to "Hide all". This will cause all subsequent traffic to be hidden.