Are you talking about the Rules > Require Proxy Authentication checkbox? I assume you understand that its default user:password of 1:1 (which is shown inside the password prompt itself) provides no security?
That's backed by the fiddler.ui.ephemeral.rules.requireproxyauth preference, and the text ephemeral in the name of the rule is why it's not saved and restored.
Inside Fiddler's Rules > Customize Rules > Main() function, you could do FiddlerApplication.Prefs.SetBoolPref("fiddler.ui.ephemeral.rules.requireproxyauth", true); ...