After spending another day I can give some additional information.
1) Using “Local Google Fonts” plugin replaced all google fonts in your Theme with local copies.
2) As far as I can see this is still true if adding the suggested plugins Elementor and Royal Elementor Addons.
3) The cases where google fonts are still loaded are
a) Use of ReCapture
b) Embedding Youtube video
c) Embedding Google Maps.
d) In general google fonts embedded in iframes
As of point 3 this seems to be to far fetched to be a concern for a theme. Since the solution in 1 is working I am totally fine with it as long as this solution is working, the plugin states a few cases in there description where it is not this should be avoided.
Since I already use many plugins it would not harm reduce that count a bit and include the option to download used fonts (regardless if it it Google Fonts, Font Awesome or Bunny Fonts) and link them locally instead of referring to the external servers.
My current solution is to use an nginx proxy to download and store all fonts and rewrite the urls of the fonts with nginx. That is of course only possible if you run a dedicated server and most wp users do not have that option.