But, as far as I see, also no advertisement, that you can't ...
On your landingpage, it says:
Assign font families to particular parts of your site then manage them in one location.
And using selfhosted webfonts is not that crazy thing, no one could think about ...
Anyway, thank you for submitting as a feature request.
Plaese consider, that in europe selfhosting webfonts will become - and already is - very important due to the new GDPR (General Data Protection Regulation) regulations.