Exactly. Why would you serve your own copy of the fonts if a previous request to that cdn may have cached them in your browser already? Opt-In goes against the architecture of websites. What's next? A popup for each third party request? It is not feasible and just another stumbling block - like Impressum for private persons and third party cookie consent to host websites in Germany. It makes more sense to fix the issue at the fundamental browser level by the vendor (natively, without the need for plugins) and explain the dangers to the users. Educated users block requests anyway for example.

I think hosting it by yourself is the solution here, but it's getting difficult to keep up with all the rules, especially when the fundamental design of the web moves in the opposite direction.