The warning in question means that you should be using FiddlerCore3 rather than FiddlerCore2 because you're running on the .NET Framework 3.5. It's likely not related to the problem you're having.
I don't know what you mean when you say "this is blank"-- what is "blank"?
Is there a reason that you're waiting until AfterSessionComplete
instead of looking at the session in OnBeforeRequest
or OnBeforeResponse
?