There is well known issue related to inability to sniff loopback interface on Windows OS family using Wireshark. This technical note helps resolve the issue.
What: how to collect dump on loopback interface on Windows OS?
Solution: the key to the problem is to use RawCap – free command line network sniffer that allows to collect dump on loopback interface. Collected dump is stored to *.pcap file that can be opened by Wireshark for further analysis.
There is link to the RawCap: [Link]