Do they log IP addresses? That would be enough as those count as PII. Maybe bunny.net has logs disabled and that's what makes them stand out.
But especially with fonts it's just so easy to self-host them that it's kind of a no-brainer.
> almost any 3rd party requests for assets should be blocked
That could be a very good practice/state of mind for developing privacy-respecting websites/apps and will save you from stress, before it can happen.
As you have no more advantages due to separated caches from using CDNs for scripts etc., you can self-host those, too. Saves on DNS lookups and you have control over the caching-times, too.
I'd try to run as much as possible from the same domain.