Hi, Michael--
If you run CertMgr.msc in Windows (or use the new Actions > Windows Certificate Manager command in Fiddler 4.6.1.5) you can view the Windows Certificate stores. These stores contain all of the certificates generated by MakeCert and CertEnroll (the two engines in the "Default Certificate Provider" Fiddler ships with).
Setting the "Clear server certs on exit" option does indeed clear the certificates added by those generators.
In contrast, the only certificate installed in the Windows storage by the BouncyCastle Certificate Provider is the root certificate (required for Windows to trust the root).
In terms of performance, yes, there's a performance cost, but it varies by provider:
MakeCert - Most significant cost; each certificate requires generation of a new 2048bit RSA key which can take a while on older hardware.
CertEnroll - Less significant cost; each time Fiddler starts, it generates a single 2048bit RSA key which it reuses across other certificates generated in that session.
BouncyCastle -- Basically free; this provider caches a single private key in a Fiddler Preference and reuses it across Fiddler sessions.