I suppose one argument might be versioning, (some) fonts do get updates (and js libs should, you'd hope), they'd either have to ship those with OS updates or let them rot. And of course it would make those updates bigger, which would use more bandwidth and thus energy...

> Or why doesn't Chrome upon install locally cache all of Google fonts and maybe a few other key CDN files (jquery, etc)?

Because that'd give them less opportunities for tracking everyone across the internet.