Thanks so much for the very cool bug report! This is an issue with the Zip library that FiddlerCap now uses; Fiddler doesn't have the problem.
By default, the FiddlerCap application uses DotNetZip, which has a 65535 file limit; SAZ stores 3 files per session, so the max archive you can store with FiddlerCap is 21844 sessions.
Also, another note: I never built the "bulk delete optimization" into FiddlerCap, which means that bulk deleting from the end of a huge session list is *extremely* slow (due to a bug in .NET/Windows). If you delete as many sessions from the top of the list as possible first, the process will go MUCH faster.
I will fix these issues for the next release. Thanks so much for bringing this to my attention!
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