Unless if you're on Ozempic until you literally dry out every single fat reserve in your body and your brain has to resort to breaking down the myelin sheaths (something that can happen in ultra long distance running, hence why hallucinations sometimes happen on 100+ mile runes), then the GLP1-RAs wouldn't be able to force the body to break down the fat in the brain.
To the best of my knowledge, GLP-1's have 0 direct impact on brain fat metabolism or myelin sheath breakdown.
Side note, GLP1 based therapies are being investigated for improving brain health and potentially helping prevent the development of neurodegenerative illnesses, potentially because of an anti inflammatory feedback mechanism it activates when its able to reach tissues outside the gut. (natural GLP1 is usually broken down ~5 min in the body after release)