Idea
I see two ways to go here:
Either prompt user for path to Captures at Install.
Or, make it an in-app Option.
Background
In most enterprise environments 'My Documents' is a network drive.
Sometimes when switching between LAN and WLAN (docking and un-docking a laptop), Fiddler's Capture files become corrupt. This also occur if the computer reboots unexpectedly.
Once the files are corrupt, they're gone. A few times I've been able to recover them using 7-zip.
The current work-around is to re-assign the path with a registry hack. It works but it's risky and requires admin rights.
Setting Fiddler's folder paths does not require Admin rights. Edit the UserPath value under HKCU\Software\Microsoft\Fiddler2\UserPath.
Having said that, what "files" specifically are you referring to? If your network environment isn't able to provide integrity for redirected Documents, that's an issue your IT admins should look at, since Fiddler relies on the proper function of the disk in many different ways.
In terms of recovery, Fiddler itself can recover SAZ files better than most other tools, simply use the dropdown on the File > Open dialog box and change "SAZ" to "Repair Corrupt".