@Eric

Sweet!  It never even occurred to me to use a rule!

Many thanks,
Franz.

Ah, I forgot that the context menu for the notification icon is already public. Click Rules > Customize Rules and update/add the following code:

              static function DoClear(src:Object, e: EventArgs) {

OnExecAction(["cls"]);
     }

    static function OnBoot() {
var o = new System.Windows.Forms.ToolStripMenuItem("Clear Sessions");
o.add_Click(DoClear);
FiddlerApplication.UI.mnuNotify.Items.Insert(0, o);
    }

You could also bind the "Clear session list" command to a global hotkey that you can use anywhere in Windows.

Using the "Keep only" setting as a workaround makes sense, but it would also be pretty easy and simple to make the tray icon extensible (following the pattern of the existing *Action attributes on FiddlerScript functions). This could be useful for other user scenarios where there aren't great workarounds.