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It's probably a bit of a balancing act. The advantage of using web fonts is that it makes the text that you would have "hidden" in images accessible - goof thing for SEO if the text includes keywords and/or describes the content. As you say, the downside is the additional load time. This depends on the particular font and of course where it's hosted. I've used the google hosted fonts on a project and not had any significant problems with speed. Speed can be a red herring though as you would have had to download the images before. If you're replacing lots of images with web fonts then you may actually be delivering fewer bytes. Perception can be different though as the browser has to download the font before it can render the text.

The only benefit in having these on one domain is sharing the link popularity from the one domain verses having to focus on link building and branding for both. I suspect the french version needs much less link popularity then the .com. If both sites already have good link building and ranking i would see no reason to merge them.