Of course, google and other big corporations are tracking you in internet all the day, using their fonts. Google sells your personal data, like what sites did you visit. And then they make more money on advertising.
To be safer on Lichess or any other site you better blockk all google shit. If you are using Firefox then install Privacy Badger add-on and block manually all tracking scripts on lichess:
cdnjs.cloudflare.comfonts.googleapis.comcdn.jsdelivr.net
www.google-analytics.com
google.comd27t3nufpewl0w.cloudfront.net
fonts.gstatic.comSite will be working better without google fonts, and you will not be tracked by google.