Human-robot collaboration (HRC) in construction primarily aims at supporting human workers in performing demanding tasks. In human-robot teams, maintaining proper situational awareness is a key element of successful collaboration. In this context, one effective approach is to incorporate visual cues (i.e., explicit visual aids) into HRC through novel visualization technologies. To that end, this study investigates the impact of visual cues on workers' situational awareness during HRC at construction jobsites. Visual cues, mainly related to the safe distance of working with autonomous robots, were embedded into an immersive virtual environment. An experiment then was conducted in which participants performed a brick-laying task in collaboration with an autonomous material lift enhancer robot with and without provided visual cues. Participants' situational awareness in each condition was measured using electroencephalogram (EEG) signals during the task performance. Beta-band activity in specific brain regions was used as an indicator of situational awareness status. The Mann-Whitney U test revealed statistically significant differences between Beta activity in two experimental conditions, indicating higher situational awareness during HRC with visual cues. The findings of this study can pave the path toward effective utilization of visual cues in future human-robot collaboration at construction.