I'm curious: What did the protocol violation line say?

To make these go away, you could manually toggle the protocol violation flags off in the Session's flags, but your easiest bet is to click Tools > Fiddler Options > HTTPS and set the General tab's dropdown "If protocol violations are observed" to "Do Nothing."

Thank you very much! How can I filter this kind of HTTP message?

Fiddler's Filters are display filters -- they don't block traffic, they simply hide it.

Or, more precisely, they will hide the traffic unless there's some reason not to. The yellow background on those sessions is a clue-- there's a HTTP Protocol Violation in those sessions. If you right-click one of the yellow lines and choose "Properties", you'll see a HTTP Protocol Violation line explaining why the session in question violates the HTTP protocol spec.