capture traffic not working with all programs

Fiddler is a proxy server; on startup, it sets the Windows proxy configuration to point to itself. Applications that do not adopt the system proxy setting automatically are fairly rare and reasonably called "buggy."

Having said that, you can typically manually adjust the proxy settings in such programs such that their traffic is captured by Fiddler. For instance, in the first program you'd use the "use a single proxy" setting (http://sentinel.securibox.net/Manual.html) with a proxy address of 127.0.0.1 port 8888. The "Elite Proxy switcher" program is itself some sort of proxy; it's not clear why you'd want to use Fiddler with it, but since the entire point of that product is to proxy your traffic through some form of remote proxy, it's entirely conceivable that they do not support local proxies (like Fiddler). Fiddler itself can direct your traffic to any remote proxy you like (via Tools > Fiddler Options > Gateways, or the X-OverrideGateway session flag).

Approaches undertaken by other products often involve unreliable "thunking" which is fragile and can cause applications to fail.

Regards,
Eric Lawrence
Telerik