I find it really strange where some privacy debates have gone wrong, and this is a perfect example. It's basically a form of "don't trust them, better trust us, also we're in a country with better privacy laws". Which is an imperfect solution at best, and given that I have no idea who bunny.net is it's a questionable one at best. If you embed a font hosted somewhere else you expose some of your user data to them. Now…
The only reason is to escape regulatory fines for something 99% of the world doesn't give a shit about. Not using fonts is not always an option
The silliness of this is that someone is going through the effort to set up hosting for a website but hosting the fonts is just too difficult and has to be delegated to a third party. The laziness of webdevs never fails to astound.