Even though we know now that Fry fathered his Father and that Fry is his own Grandfather, an alternate explanation for why Fry didn't disappear is that Enos and Mildred could've had sex before Fry came to the past. Mildred could've possibly gotten pregnant with Fry's dad by Enos before he died. Then Fry wouldn't have necessarily fathered his Dad. But we all know now that he did, as revealed in The Why of Fry.
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