It would be helpful to understand more about what "extra loading time" you're referring to.
In terms of your questions:
1> Proxy-Connection: close from the client causes Fiddler to close the client's connection after returning a single response. Connection: close from the client does the same thing.
2> Proxy-Connection: close from upstream server closes the connection to the server after receiving the complete response. Connection: close from the upstream server does the same thing.
If Fiddler receives a Proxy-Connection request header and the request is NOT being sent to a gateway proxy, the Proxy-Connection request header is renamed to just "Connection".
Could you share (or email me) a SAZ file showing the "slower" behavior?