I did some testing with the simple theme and left the fonts at the default of “OS Default Font + OS Default Font”. I setup a new site/page. I blocked *.gstatic.com and tried loading the site. There is zero difference in performance in my test setup. The link tag is only “preconnect”, which is blocked. As the page is not trying to load actual fonts from fonts.gstatic.com, there is no performance impact.
As expected, the browser tries to open a connection to fonts.gstatic.com just in case fonts are requested. Other than a useless connect in this case, it doesn’t have a performance impact. If gstatic.com is blocked in your environment, the firewall will see the attempt to connect to that domain.
It appears this isn’t a performance hit, just a spurious connection.