This design is largely perpetrated by the adtech companies in question. Your reference to an external font is, of course, largely referring to Google Fonts. Nobody embedded externally-hosted fonts until adtech companies started pushing you to just add their convenient code that grabs the fonts from their servers direct, but it's insane we allow this.

Of course, the web browser should do something about it... but the adtech company built that too. "That's how the internet is built" is an aggressively dismissive attitude, because there are specific companies building the Internet. Note that every new trash web standard is written by... oh, yeah, Google too.

Sidebar: I block Google Fonts. You should too.