Removing interception certificates via Fiddler option "Remove Interception Certificates" only removes them from Personal and Trusted Root Certification Authorities. Certificate that is located in Intermediate Certification Authorities is not removed. This certificate is not trusted after using "Remove Interception Certificates" and has status "This CA Root certificate is not trusted because it is not in the Trusted Root Certification Authorities store".
sigcheck -t[u]v doesn't show any warnings.
Tested this on both Windows 7 and 10. Tried refreshing certmgr, restarting it, and rebooting machine with no success - intermediate certificate is still there.