I see two ways to go here:
Either prompt user for path to Captures at Install.
Or, make it an in-app Option.
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.