Fiddler is a proxy itself. By assigning a different proxy to your request.. you're essentially taking Fiddler out of the equation.
If you're looking to capture traffic and use your own proxy.. you can't use a proxy (by definition that makes no sense).. you want a network analyzer, such as WireShark. This captures the traffic instead of having the traffic routed through it (as a proxy does), allowing you to have it monitor traffic and route your requests through your custom proxy.