The yellow warning bar is shown if some other process on your system alters the registry key that holds the system proxy settings. You can use something like Process Monitor from SysInternals to see what process is touching the proxy keys while Fiddler is running. Common culprits include security and networking software.
If you really want, you can disable this warning by typing prefs set fiddler.proxy.watchregistry false in the QuickExec box, hitting enter, and restarting Fiddler. But keep in mind that this means you won't get any notice in Fiddler if it's no longer properly attached.
I don't know why Fiddler's icon is blinking in the task bar, as, in general Fiddler doesn't have that behavior. It's unclear whether you're claiming that this is related to the yellow warning bar.