Today, FiddlerCore sets the base path for writing (e.g. temp files generated when compressing/decompressing brotli, etc) to a "FiddlerCore" subfolder of the user's MyDocuments folder. This isn't a particularly good default, but the bigger problem is that it cannot be easily overridden without reflecting into the private members of the CONFIG class.
This path should be settable, at least before Startup() is called.