This is the story "The Brotherhood of Keepers" by Dean McLaughlin, as I see was noted in one of the comments. I read it in the 6th Annual Edition: The Year's Best S-F edited by Judith Merril. It was previously published in Astounding; I found a scan of it online at the Internet Archive.
Humans are on a planet that they are colonizing.
It's not a colony, it's an experimental station:
"We've had this station here ever since the planet switched from Alpha to Beta -- That's close to a thousand years."
There are bearlike natives.
The natives are fur-covered bipeds referred to as "floppers."
shaggy, dirty-white, short-legged creatures about the size of large dogs. [...] they squatted on their hind legs, their apparently boneless arms curled up almost double and their mittenlike paws pressed flat against their bodies.
The natives pass lots of IQ test including putting out a fire with a rug. A human who tries that test fails, asking how he was to know it was fireproof. He is a visitor to the planet.
The visitor is Adam Hitchcock, from an SPCA-like organization called the "Society for Humane Practices." He is there to stir up a popular outcry that will force Earth to provide assistance to the floppers.
Then they came to some problems not so easy. Problems like the fire-moat, in which--to reach a scrap of food--the flopper had to cross a wide bed of flame-bright coals.
Baffled, Hitchcock paced back and forth along the edge, his hollow-jowled face made ruddy by the heat. There wasn't any way he could do it. No way at all. Finally, he gave up. He stopped and turned back to Muller. "This is impossible," he protested.
"Yeah?" Muller smiled. He walked over, picked up a mat from the floor and threw it across the hot, eye-searing coals.
"How should I have known it was fireproof?" Hitchcock protested. He was using his camera again, recording the problem and its solution.
"How did you know it wasn't?" Muller answered. "You should have tried it, to find out."
"But you can't expect an ... an untrained savage to think of that," Hitchcock argued.
Muller shrugged. "It's a tough trick, all right," he admitted. "But we've had a few floppers do it."
Near the start the visiting human was trying out the IQ tests designed for the natives. A room was set up with physical problems to solve. The visiting human failed some and was told the natives had all passed them.
Not all natives, just the smart ones.
Hitchcock sputtered. "Young man, no person could possibly find his way out."
"Yeah?" Muller wondered. "Follow me." He jerked a thumb over his shoulder, turned, and walked off in that direction.
"But you know the way out," Hitchcock protested. He had to scurry to catch up with Muller.
Muller didn't look back. "It isn't easy," he admitted, walking along almost jauntily. "But some people do it the first time through. We've even had some floppers do it."
The humans were removing the brains and killing the natives.
Not all the humans, the brain researcher Sigurd Muller is doing this on his own:
Estanzio was silent for a moment, "Why did you kill it?" he asked.
"Same reason I killed the other two," Muller said. "I want to look at it's brain."
When the human first saw the brains, he did not realise the natives had been killed to get them. He said something like that he assumed they had taken samples from several brains and combined them. He was shocked that the humans were killing the intelligent natives.
This is Ben Reese, the director, who is shocked; Muller has kept this from him.
Reese turned back to Muller. A suspicion had grown in him, ugly and fearful. Now he had to destroy it--or see it confirmed.
"He tells me you showed him test records," he said cautiously. "And photos of brain tissue. Were they authentic?"
"Sure they're authentic," Muller retorted. "You think I'd fake a thing like that? Look--all I did was show him around, and show him how we work, and I answered his questions and let him see everything he wanted to see. You got any objections to that?"
Reese shook his head. "To that? No," he conceded. "But these brain tissue samples--I presume you took them from the different sections of their brains."
"I know how to take specimens," Muller answered defiantly.
Reese felt sick and old. "You killed them," he decided, "All three."