Fiddler acts as a proxy right? So you'd have to have gatling or your underlying host's network config to route HTTP requests through the Fiddler host (at some Fiddler port if needed), not directly out the network. I'm not sure if Fiddler auto-configures that for you. This is similar to what one does to adjust browser's proxy settings.
I know on Mac, the Charle's proxy tends to auto-configure for you in most cases.
But I'm sure you would see the calls if you just used a plain old traffic sniffer like Wireshark, as that doesn't need proxy routing.