The challenge is that to ensure consistency, you need to use the "lowest common denominator" of fonts that are installed by default across all operating systems. Which leaves you with (like) Arial, Times, Courier, Verdana, Georgia, Palatino, and (hahahaha) Comic Sans.
The real answer here is why web designers use Google Fonts as opposed to embedding their own fonts. To which the answer is: it's so much easier. (Tech, licensing, formats, compatibility, etc.)