Why self hosting is not working for some Google Fonts?

Self-hosting Google Fonts works only if they're referenced directly in the HTML. If Google Fonts are loaded asynchronously, it will not be parsed. 

Google Ads, some 3rd party scrips, Web Font Loader etc loads Google Fonts asynchronously.

To debug, open "view page source" of your website and search for "fonts.googleapis.com". Fonts visible in the source can be self-hosted.