Interesting question. I'm curious myself as I had this exact problem with a factory installed muzzle brake on a Ruger RPR. I figured the muzzle brake would be relatively concentric with the barrel crown for bore-sighting purposes. I was very mistaken. Had to take the muzzle brake off.
Otherwise, same reason as Dakar notes, reduce uneven pressure around the projectile.
So, if anything, you might be able to use my mistake. In this case, I have a site-lite green laser that is installed into the crown end of the barrel. The laser has a shaft with specifically sized o-rings (for the caliber) that centers the shaft in the bore. The laser shaft, on the far end, has a bevel that is then pressed against the crown making the assembly fairly well centered and parallel to the bore. It's not perfect but gets zeroing within a couple of minutes or so.
With the muzzle brake off, install the laser and sight it to some distance target through a scope. Install the brake and do the same. Repeat a couple of time. If the two ports, the bore and the muzzle, are concentric the laser dot should remain in relatively the same location. If they are not concentric, you'll see significant offset. Offset could be from poor tolerances on the machining of the brake, poor machining of the barrel threads, something else?, etc. There is a some margin of error due to the way the site-lite centers the laser but it should be small relative to non-concentricity between the two ports.
Also, the shaft on the site-lite is not very long, so the brake can't be very long using this laser. The brake you have might be too long for this particular tool.
This, of course, doesn't fix any problems but may provide some insight to tinker around with.