Hello,
Okay, maybe I’ll make a tutorial for this; I found a way to have HLSL code in nvidia nsight, with renderdoc, it doesn’t work (even if it should…).
Actually, UE4 strip debug information from the compiled shaders in the UE4 shader compression process. I found how to add debug information in the shader, but I didn’t see that the after the compilation, the shaders was compressed, and farewell debug informations.
I have another problem now, but it’s very probably because my hardware doesn’t allow it, more than a problem with nsight or UE4 -> I can’t make breakpoint in shaders. But well, I can have the output of UE4 (there’s actually two way to have them), and I can have some information in the pipeline with nsight. It’s enough for now, but I’ll probably check on the nvidia website if the breakpoint problem come from my hardware (I don’t even meet the UE4 minimum shame), or if the compilation process omit some informations.
EDIT :
I can confirm the problem come from my configuration, as stated on the nvidia website.
So I’ll try later, if I need, to remote debug my UE4 project on another computer, from this one.
Anyway, if someone need it, you should now be able, with a remote configuration, to set breakpoint in a shaders. 
PS : I’m not english speaker/writer. So, if you found some big mistakes, please, let me know.