Are web fonts smart enough to download only the symbols that you’re using? With Unicode growing all the time, and fonts supporting significant parts of that total set, it would be insane to have to download hundreds of thousands of symbols when you’re just trying to write a 3-word headline.
Another problem is aggressive filtering, oddly. I once visited China and found my entire web site wouldn’t load; it turned out to be triggered by a font from a Google domain. How silly for content to be thrown out because an optional style element is unavailable. I have since stripped out all my Google dependencies.