Consider providing support for basic authentication through the "Set manual proxy configuration" option in the Gateway settings.
There's not really much more information, this occurred on both version 1.0 and 1.1. When I get an emailed fiddler trace (we ask clients for traces regularly), it opens a web page redirect https://redirect.getfiddler.com/open-fiddler.html#snapshotShared-<guid>, which opens the app, and at the top of the app says "Unexpected error" with seemingly no other information. I've tried this on multiple email requests, same effect.
Also on MacOS Catalina v10.15.6