Fiddler is a proxy; it captures everything that's sent to it. By default, it registers as the system proxy for your local PC, so that applications (like browsers, Office, etC) that use the system proxy will automatically send their traffic to Fiddler when Fiddler is "attached." Some clients (e.g. Opera, CURL, Java, etc) require manual configuration to set their traffic to proxy to 127.0.0.1:8888.
It sounds like you might be saying: "How can I see all of the traffic received by my endpoint on Azure, including traffic on machines that haven't been configured to run Fiddler?"
To do that, you must configure Fiddler as a reverse proxy and run it on the target server; see http://docs.telerik.com/fiddler/configure-fiddler/tasks/usefiddlerasreverseproxy
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