The fonts controlled by Cowon's firmware are what's called 'Device Fonts' - they're built into the operating system and do not have to be embedded into Flash. These are higher-performance fonts, but they have their limitations. When you use Cowon's settings to change the font, what S9 actually does is it activates a different Device Font, which means that any UCI using device fonts will immediately start using that new font.
In order to use a font other than a device font, the data about the font has to be stored/embedded as part of the UCI, which increases its size, memory usage, and sometimes even decreases performance. I prefer to use device fonts wherever possible.