WPF MVVM Focus Field on Load
If it makes you feel better (it makes me feel better) you can do this in Xaml using an attached property:
http://msdn.microsoft.com/en-us/library/system.windows.input.focusmanager.focusedelement.aspx
Anything you can do in codebehind you can do in Xaml if you know the tricks. Fortunately, you didn't have to implement this trick - MS did it for you.
In this case I think that it is fine to put the code into the view. Setting focus to a control affects the behaviour of the user interface rather than logic of the application and therefore is the responsibility of the view.
Actually, isn't focus a UI concern? MVVM is about separating concerns - what belongs to model is in model, what belongs to view is in view, and what bind model and view together is in ViewModel (this is of course oversimplified description).
This means, that UI logic remains in View - TextBox.Focus() is, in my opinion, appropriate way to make this happen.