I agree with you and Mikew that you would want Santa Clara station, not San Jose, if you took Caltrain.
The last #10 bus leaves the Caltrain station at 11:17pm, so if the train is late, you might miss it.
I would also agree with Mikew that you consider taking a shuttle.
From Millbrae, there is a 9:04pm train (weekdays) and a 9:38pm train weekends, btw.