The problem is that if you use them in your game and then give your game to somebody else to play there is a big chance that the other person does not have the same fonts installed on his or her computer. To avoid this, Game Maker embeds all the fonts you want to use in the game file, but only in the stand-alone games. So if you give a stand-alone game to someone else you don't need to provide the font files. But if you give somebody the editable version of your game and you use fancy fonts, you better also provide the person with the correct font files.