This doesn't seem like a great mystery. Brennan is standing below on the street, hears gun shots, does the logical thing and looks for the source of the noise and sees Oswald with his rifle. If there is anything that is surprising, it is that many more witnesses didn't do the same (although others did see the rifle in that window confirming that is the location of the shooter - unless you believe lunatic things like Oswald was firing blanks etc).
Brennan is standing below on the street, hears gun shots, does the logical thing and looks for the source of the noise and sees Oswald with his rifle. Except he didn't, because in the Z-film he can be seen watching the motorcade at the time the shots rang out and the shooter was just about completely hidden behind the wall next to the SN window.
This doesn't seem like a great mystery.What is a complete mystery is how a reasonable person can take anything Brennan said seriously.