Actually, as a private company (Fidelity is one of the few financial institutions that is privately held) operating in a right to work state, they can pretty much fire you for any reason at any time - there is no case here.
As another poster mentioned, it's common knowledge at Fiedlity that thus type of stuff (fantasy football, weekly pick 'ems, March Madness pools, Super Bowl squares) are things they consider gambling and you can and will be fired for it. From what I understand it doesn't even have to involve money (i.e. a free fantasy league) for Fidelity to consider it a form of gambling and because they are in the business of investing people's retirement finds thay have zero tollerance for anything that gives the appearance that their employees gamble.