Cong, if you need to search ~20,000 responses to track down performance errors, and your hardware cannot run Fiddler with that many sessions in the grid, then it looks like you would need to write (whether in Fiddler or Fiddlercore) code that saves responses in chunks to saz file(s) while the load test is running. Here is a workaround. StresStimulus is a load testing Fiddler add-on that can record scenarios and replay them with multiple users. It does not use RAM for captured sessions as it stores them in the embedded SQL CE with 4 GB capacity per test run, so 20 concurrent users would work fine.
To find your performance errors, after the load test is complete, query sessions from SQL CE to the Fiddler grid http://support.stresstimulus.com/display/doc46/Querying+the+Test+Log or query SQL CE directly. The free StresStimulus version can run up to 250 concurrent users, but it somewhat limited, so you can use our free trial to find your load testing errors.