Fixed this one myself after some playing around.
In Chrome I have an extension called Media Hint which lets me enable/disable it to watch US Netflix from the UK. This apparently changes my proxy settings, which I suppose makes sense. But for Fiddler to capture any traffic I guess it looks for the default proxy setting. So that's what was causing it to not capture anything
And as for the red stuff, not sure what it means or does, but Help > Turn off Troubleshoot Filters gets rid of this!
Hopefully that helps anyone else in my situation :)