It’s not just the GDPR, there are several other benefits in using local fonts. From https://fontsource.org/docs/introduction :

– Self-hosting brings significant performance gains as loading fonts from hosted services, such as Google Fonts, lead to an extra (render blocking) network request. To provide perspective, for simple websites it has been seen to double visual load times. Benchmarks can be found here and here.

– Fonts remain version locked. Google often pushes updates to their fonts without notice, which may interfere with your live production projects. Manage your fonts like any other NPM dependency.

– Commit to privacy. Google does track the usage of their fonts and for those who are extremely privacy concerned, self-hosting is an alternative.

– Your fonts load offline. On top of benefiting PWAs, often there may be situations, like working in an airplane or train, leaving you stranded without access to your online hosted fonts. Have the ability to keep working under any circumstance.

(Also this was one of the reasons for the recommendation to not merge the Webfonts API to WordPress 5.9.)