I actually noticed this big time the other day, but I think it's just a cinematic approach to the scene. I remember thinking "I hope they don't show Brain show up on the other side of Brendan's head and exit the scene, it would be an ugly movement in the frame." And they avoided it.
As for the theory, while it could kind of fit (Brendan is a total loner) Brain provided Brendan with way too much info. Brain was basically in a whole different movie centered around intel and other forms of support for Brendan. Brendan could not be doing everything alone.
For example, Brain told Brendan that Laura never left Tug's and went straight to school. That's why Brendan knew the drugs were probably in her locker. His plan would have failed if she'd done anything else. So, either Brain is real, or Brendan left the shoot out, immediately got back to Tug's and started tailing Laura.
Brain is simply the Eyes and Ears archetype you see in a lot of noir.
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