It's not weird because where you expect it to be is where it is, if it were somewhere else (some distant ansible transmission) you would be used to that and think it weird to imagine it being in the body.

That analogy doesn't work at all, since "the body contains the brain" does not describe a recursive relationship.

By contrast, you see people trying to "explain consciousness" by telling a story that assumes consciousness. When someone makes a statement like "Consciousness emerges from mechanism X in the brain.", every observation that lead to this statement originated in someone's consciousness.

It's less obvious than, but completely analogous to, how it's impossible to decide whether we live in a "base reality" or some sort of simulation - everything you could say about this reality that we perceive is contingent on that very reality.