Earlier quoted context omitted.
It's loading fonts. So squarespace needs to host those fonts, fine. But more to the point, it could be argued even the Squarespace CDN is "different" from the actual website, so we need CDN shims that forward local domain requests to the CDNs and return the results. All to hide an IP number for downloading fonts." Moreover, "host it yourself" is easy if you're technically skilled, but very, very difficult if you aren…
Technical skill is kind of a requirement if you want to achieve something that's technical by nature - such as website development or web hosting. And hosting a font file entails dumping it next to your index.html file and adding some very basic CSS. Not exactly difficult.
If you are a 60-year-old woodworker living in Appalachia trying to set up an online store to sell hand-carved flutes, this task is essentially impossible.