In this work, we explore if the immersion afforded by Virtual Reality can improve the cognitive integration of information in Cinematic Virtual Reality (CVR). We conducted a user study examining participants' cognitive activities (recall performance and cortical response) when consuming visual information of emotional and emotionally neutral scenes in a non-CVR environment (i.e. a monitor) versus a CVR environment (i.e. a head-mounted display). Cortical response was recorded using electroencephalography. The results showed that participants had greater early visual attention with neutral emotions in a CVR environment, and showed higher overall alpha power in a CVR environment. The use of CVR did not significantly affect participants' recall performance.