I am trying to debug D3D11 shader bytecode without source. 

According to this page:

https://docs.nvidia.com/nsight-visual-studio-edition/Content/Shader_Debugger.htm

This should be possible, under 'Byte Code Debugging'

However it doesn't actually say how to start debugging them.

I Ctrl-Z the app and hit Space to capture a frame. Then in Windows->Shaders I choose the pixel shader to debug (while having the draw call that uses that shader selected in the scrubber). 

The next step it says to choose Windows -> Choose Graphics Focus, but that doesn't exist in the latest version(?)

I can set breakpoints in the shader bytecode file that comes up when clicking through to the shader, however they are never hit.

What am I missing?

Has anyone successfully done this?

Is there any software you can debug/breakpoint shader bytecode and see registers after each instruction etc?

I never managed to use Nsight for shader debugging. I never got my way around that tool, it's a bit cluttered.
For D3D11, I've always been using the built-in graphics debugger in Visual Studio. I think that one is pretty good ans it allows you to step in shaders. You can find it under Debug > Graphics > Start Graphics Debugging in the toolbar.
For D3D12, I use PIX, which is by far the best graphics debugger I've ever tried but it only works on D3D12 AFAIK.