If Fiddler is configured to decrypt HTTPS traffic, then it generates
its own interception certificate which is returned to the app. Learn
more here:
http://www.fiddler2.com/fiddler/help/httpsdecryption.asp
My guess is that your server is returning a certificate that contains
an AIA pointer that points to the next chain up. Not all HTTPS stacks
have the ability to build chains using AIA (e.g. Firefox doesn't, IE/
Fiddler does), and thus they would show a certificate error upon
encountering such a certificate. Because Fiddler knows how to validate
such chains, you wouldn't see an error from Fiddler, and because
Fiddler returns a directly-trusted Interception certificate to the
client while intercepting, the client no longer complains.
The server should be configured to return the full certificate chain
in order to interoperate with clients that cannot do AIA retrieval.