Not a lawyer, not legal advice. The actual font files (e.g. TTF and OTF) are protected by copyright, but the design itself is not. You can copy the design to the minute details, but you'll have to make your own font. This is a lot of work for hundreds or thousands of glyphs, plus kerning.

The format those files are delivered in generally do not simply contain typeface. They contain code that draws the typeface, which is a computer program, and that is covered by copyright.