Hi Francesco,
I am only another GP user, but I can tell you this: in some countries, like Germany, you are not allowed to use Google fonts except they are hosted locally. If I used the Google Fonts API, I would violate the GDPR law. Therefore I use the possibility to locally host Google fonts. In this case, there is no connection to the Google server, because I added the fonts locally and host them on the same server where the website is. To do this, there is the wonderful guide of GP how to do that 😉
Erika