Not at all 
No, that would be pretty suboptimal from a performance point of view. Why should the fonts be loaded if they are not used anywhere?
The Gutenberg content uses the same fonts that are set in the theme styles (for body and headings), so they are also preloaded there. Apart from that, you can’t change the font families in Gutenberg, can you?
That is correct. But if you go the custom route, you can also set the preload tag manually, if desired. But as I said: the “regular” way is to set basic settings (and this includes font families) in the theme styles.
That might be an improvement request, but at the moment I don’t quite understand what the point is. The font would always be loaded, even if it is not used, which is a disadvantage rather than an advantage.
Either the first or last theme style created (I’m not quite sure right now).