It looks like the study had a multi-pronged approach, but in terms of the mechanism of action, the study was focused more on the brain than the rest of the body, and the authors posit that the areas where the semaglutides are acting are resulting in decreased appetite.

The semaglutides are analogues of GLP-1 (glucagon-like peptide 1) which is released from cells in the intestine, with receptors in the body including in the pancreas, stomach, kidney, lung, heart, skin, immune cells, and the hypothalamus. It is one of the hormones involved in regulating blood sugar and digestion, partially through its regulation of other hormones.

So to sum it up, I don't think they just make you eat less, it seems like there's a hormonal/nervous system/gastrointestinal overlap in mechanism of action.