When you upload a sketch via ISP the bootloader is erased. If the bootloader is erased, you can still use the USB as COM port, just not for uploading a sketch. So once you upload a sketch via ISP, you need to continue to upload revised sketches or other sketches via ISP. Until you burn the bootloader again, and then from that point you can use the bootloader and upload in the common manner.
Here's the deal with fuses:
Go into the IDE preferences and check show verbose output during upload. Then connect the ISP and Burn Bootloader. The avrdude commands (2 separate commands) that are used to set the fuses, erase the chip, upload the bootloader, etc. will be shown to you. Copy them to a notepad.
You can study the data sheet for the ATmega32U4 (the MCU on the Pro Micro, you may know it is the same as on Leonardo). And also google for an online fuse calculator. You can google for avrdude command line options, and learn what is happening and why when you burn the bootloader. You can look at the boards.txt file that is part of the IDE installation to see the default fuse values used on your Pro Micro. You can figure out how to construct your own avrdude command line that sets whatever fuses you want and skips the chip erase and bootloader write options.
You do need to be careful, because some fuse values will make your ATmega32U4 no longer programmable, so it becomes bricked. An example of that kind of fuse is SPIEN, which is by default programmed (set to 0). If you were to unprogram that fuse bit, it disables further ISP programming. The only way to fix that would be to make a high voltage programmer and connect it to many pins of the ATmega32U4, and that would be difficult on an SMD chip. For this reason, you may want to consider experimenting with cheap clone Pro Micros from Aliexpress that only cost you a couple dollars, before you go messing with fuses on a Sparkfun Pro Micro that may have cost you $20, or don't go messing with fuses as a novice on your one-and-only board when you have a "project due" a few days from now. 
OK, finally, the news you didn't know you were waiting for (I'm long-winded today, apparently):
The BOOTRST fuse is programmed. That fuse tells the processor to start executing at the bootloader location in high memory (FLASH) upon power up or reset. If the bootloader is not there, do-nothing instructions are executed until end of memory is reached, and then instructions begin executing at beginning of memory where your sketch is located. So you do not notice anything bad until your sketch becomes so big it occupies parts of memory where the bootloader resides. Then, parts of your sketch may start executing right in the middle of your program, which will give garbage and unpredictable weird stuff happens. Bottom line, it won't work. The solution is to unprogram the BOOTRST fuse when you want to use the ATmega32U4 without a bootloader and just upload sketches via ISP. That tells the chip to begin execution at beginning of memory (your sketch) upon power up or reset.
The IDE only writes fresh fuses during the Burn Bootloader function, when you upload sketches it does not alter the fuses.