As documented, SetProxyInProcess
affects URLMon clients only, and .NET doesn't use URLMon for networking.
.NET clients typically pick up the current proxy setting automatically, but if you're running FiddlerCore in a different user account, that's not going to work (and you probably don't want your mocker to be messing with any traffic except your test application). So, instead you should configure your application explicitly to proxy its traffic through your FiddlerCore instance; see http://fiddlerbook.com/fiddler/help/hookup.asp#Q-DOTNET and http://fiddlerbook.com/fiddler/help/hookup.asp#Q-IIS and if your services are local http://fiddlerbook.com/fiddler/help/hookup.asp#Q-LocalTraffic