Note that GDPR talks about data minimisation - data you should not share more data then necessary. If there are no other way then linking to a third party then that would be just fine. But if there is another way to do it that don't requires you to share someone else data you should do that instead (in this case self host the fonts).

Also consent may not actually help here because the principle of data minimisation applies no matter what legal basis for the processing you use.