If you don't trust that, then a great way to find out what any advertising company knows about you is to act like an advertiser and look at what user data you can get. I don't mean call up google advertising and pretending that you're head of marketing at $BIGCOMPANY (you could, but it's not what I meant), but try looking at the product pages made for advertisers.
But of course in order to do that, you also have to have a login, cookie, etc. for a panel that Google controls, and that exposes only a tiny subset of the information it could most obviously and trivially correlate about user activities.
These just aren't really things people trying to visit wordpress sites should have to consider..
Tinfoil-hatting a login for intel gathering's a stretch. Please use whatever you feel necessary (e.g., TAILS) for keeping your privacy while doing a little recon on what google's offering about its users to advertisers.
Ultimately, wordpress chose to refer to google for font loading. That's their choice and right, and it's what people reading wordpress will have to deal with.