Fonts ought to have Subresource Integrity checksums, and clients should cache them effectively, even cross-site. It's not like they change much.
This has been tried and failed many times in the past with other things. The biggest problems are with what a "canonical" version actually is, and security. Browser cache sizes are already too small to effectively cache things for one origin for any significant amount of time, and when you try to introduce cross-site caching you quickly run into a few issues. The big one for fonts is that you very rarely include a WH…
Oh? We have browsers eating a gigabyte of RAM now.