I've downloaded NM 3.4 from microsoft.com and it appears that the software doesn't capture traffic on MS TCP Loopback interface. When I ping 127.0.0.1 address, NM shows no packets flowing. I've tried both promiscuous / standard NIC mode with no luck. The only way I know so far to capture loopback traffic on Windows machines is to use RawCap.
I'm using Windows XP SP3.