What law of physics says consciousness is entirely in the brain?

I wouldn't claim that it must be. In principle any other form of computation would suffice. I don't understand why this observation is made in this context.

That seems more like an empirical fact about how certain kinds of animals are wired

Err... yes. That's why we consider whole brain emulation instead of whole foot emulation or whole slimy green tentacle emulation but this is not an important detail. The point is that they are wired in physics, not outside of it.