In your screenshot you have a shape layer selected. In order to stroke paths you need to either save the path if it's a shape layer and make a new blank layer to add the stroke
or make your path using the paths option instead of shapes and use a non shape layer, smart object, adjustment layer to put the stroke on. In other words the active layer needs to be a pixel layer (such as layer 3 in your screenshot) in order to stroke a path with one of the brush tools.
If its smart object, it wont work.
I've just figured out while trying to stroke on a layer using ellipse shape.
Just select the shape with path selection tool and press ctrl+x then ctrl+v (just cut and paste it anywhere). Now the stroke options must be available.
If I understand you correctly JimFro, you want to draw a path with the pen tool then apply a stroke that tapers to nothing using the path as your guide.
To do this in CS6:
First draw out your path, making sure to draw in the direction you want the line to fade to.
Then you need to create a new layer onto which your stroke will be drawn. Make sure you have it selected.
Next you need to set up your brush. Select the brush you wish to use (size, colour etc.) - then open the brush panel and under 'shape dynamics' select fade in the control for size jitter. then enter in pixels the distance you want to fade the stroke in. You'll probably have to trial & error this figure.