Yes, the alcohol in the red wine does burn off when cooking however the trick is to warm mulled wine low and slow without boiling or over simmering the liquid. Extras such as brandy or Cointreau tend to be stirred in or added before serving for an extra warming punch of flavour. If you want your mulled wine to be extra strong, you're probably best not to use the slow cooker and opt for the classic way of cooking it on the hob in a pot or pan.