Chrome and Edge now support this compression scheme by default, so Fiddler should add it too!

+1.

For the response, I patched the request to return gzip, by adding to 'OnBeforeRequest':

if(oSession.RequestHeaders.AllValues("Accept-Encoding") == "zstd, gzip"){
    oSession.RequestHeaders.Remove("Accept-Encoding");
    oSession.RequestHeaders.Add("Accept-Encoding", "gzip");     
};

For the request data itself:

1. Get binary from: https://github.com/facebook/zstd/releases
2. patch 'OnDone':

if(oSession.RequestHeaders.AllValues("Content-Encoding") == "zstd"){        
    var zstd_bin = "C:\\zstd\\zstd.exe";
    var tmp_req_body_encoded = "C:\\zstd\\tmp\\" + oSession.id + ".req.encoded.tmp";
    var tmp_req_body_decoded = "C:\\zstd\\tmp\\" + oSession.id + ".req.decoded.tmp";
    var req_dictionary_file = "C:\\zstd\\my_dictionary_file.zdict";     
    
    oSession.SaveRequestBody(tmp_req_body_encoded);
    
    var exitCode;
    Utilities.GetExecutableOutput(zstd_bin, "-d -D " + req_dictionary_file + " -o " + tmp_req_body_decoded + " " + tmp_req_body_encoded, exitCode);

    oSession.LoadRequestBodyFromFile(tmp_req_body_decoded);
    
    //FiddlerObject.log("decoded request: " + oSession.id);
}