Whoa! Brahman's are different than "bos taurus" cattle. I've raised and shown Brahmans for almost 20 years.
First of all, don't pen him up. Brahmans don't like to be confined. He'll eat more if he can move around freely.
Second of all, he needs to be with and eat with another cow / steer / whatever that has a better appetite then he does. If the other bovine is eating, it will encourage him to eat more as well. You'll never get him fat if he's alone.
I wouldn't feed a finisher.. use a grower. Also, make SURE you don't have milo in the feed, as that will founder a Brahman. Beet pulp won't hurt him if he likes it.. it's just a filler, so it's not going to help him gain weight.
It sounds like he has plenty of hay.. Brahmans need plenty of hay! They won't eat grain well without hay. Many times mine will frustrate the heck out of me by only wanting to eat hay, and not grain. Unfortunately they are just like that.
It will take TIME, but he'll gain eventually. Brahman's never look really good until they are 16+ months old anyway!