Google Fonts is specifically created and maintained to collect more data points for Google. Just an IP and user-agent is enough to fully identify a user that is known to them - and then they use referrer/origin headers to monitor the usage of a site using Google Fonts.
Azure's primary business isn't to collect data about users, Google's is.
Hosting providers and CDNs are legally very different from third-parties that you insert into a website.
Having all resources under the same domain is a great boost to performance. Self-hosting fonts can speed up website loading anywhere from 250ms to 1s.