Prim's algorithm: difference between brute force and PQ approaches
First, the psuedo-code given is not intended for brute force Prim's algorithm. It is a meta-algorithm for MST. Quoted from the beginning of Section 5.1.5 of "Algorithms":


  What the cut property tells us in most general terms is that any algorithm conforming to the following greedy schema is guaranteed to work.


Both Kruskal's algorithm based on disjoint sets and Prim's algorithm based on priority queues are instances of the meta-algorithm.



As for your other questions:


  "If we use a brute force approach, running time is O(|V|⋅|E|)."


It does not make much sense to discuss about the time complexity of a meta-algorithm.


  "Anyway I think that this more than just optimization, since solution with this last approach is built incrementally."


The greedy meta-algorithm for MST is incremental. And both Kruskal's algorithm and Prim's algorithm are incremental.