Self host (supported by Google Fonts but not by this service): - Better privacy - Better performance (no extra DNS lookups, TLS connection)
Their default embed code is a CSS @import directive. These must never be used in production code (It's fine as a directive for the compiler for local files but not with remote URLs). Leads to FOUC and FOIT.
Also, next step in amateur hour: They serve their CSS and fonts on the same domain as their marketing website. Cookies galore.