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Can you download the font to the server and avoid Google on each page load? Or is it a copyright issue?

The license is listed on the page.

Good question. I might guess it's as free as most things in surveillance capitalism.

Well, even if it were legal to host it yourself, most won't do it, so Google still cashs in on the surveillance side.

The font is under the OFL license, and you can definitely host it on your own server, no connection to Google required.