No, Fiddler does not add such a header, but you're not imagining
things either.
I explain how browsers (like IE) behave differently when a proxy is
present over here:
http://blogs.msdn.com/b/ieinternals/archive/2010/07/08/technical-information-about-conditional-http-requests-and-the-refresh-button.aspx.
Specifically, when you perform a "Refresh" operation in your browser,
if IE believes a proxy server is present (e.g. Fiddler), a Pragma: no-
cache request header is added. Similarly, if you perform a HTTP POST,
ordinarily, IE will send a Cache-Control: no-cache header on the
request, but if it detects a proxy is present, it will instead send
Pragma: no-cache.
-Eric