Of five species of mice that are known to be common around the overwintering sites in Mexico, only one eats monarchs. In two different summers, mice have eaten monarch pupae that were in cages that I was keeping outside. I don't know if this made the mice sick, however, and as far as I know, no one has studied whether these particular mice are important predators of monarchs. We do know that some predators seem to be able to tolerate the toxins in monarchs with very few problems. Yes, they do.
All insects have brains.
Just like our brains, their brains receive messages from the rest of the body, and send messages to the muscles and other organs in the body. They are relatively smaller than our brains, though. Monarchs sequester chemicals called cardenolides, or cardiac glycosides. The potency depends on the amount of toxin that the predator eats, and what the predator is. We are quite sure that the ancestors of monarchs were tropical butterflies that could not survive long periods of very cold weather.