When embedding Youtube video's, the video is loaded using an
Iframe's are (external) webpages, loaded inside (or as part of) another wegpage. In the case of a Youtube embed, the video's page on youtube.com is loaded as part of your webpage.
Since OMGF (Pro) is installed on your server, it can only inspect and detect Google Fonts on your server.
GDPR implications of using Embedded Youtube Video's.
In short, yes. That's why it'd be a good idea to reconsider using them altogether.
In a recent ruling in Germany, a website owner was fined simply for using Google Fonts, because the IP address is shared with Google's servers while downloading the files. The same goes for embedded Youtube videos, or any other embedded element -- which is hosted (and maintained by) a company in the US.