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It's not a matter of using "fancy fonts" - it is a matter of using fonts that we feel add to the experience of what we are writing.
When doing research on hyphenation, I saw some complaints that using the soft-hyphen character (U+00AD) resulted in a ? glyph on some readers. I don't know for sure, but I would bet the issue is the device manufacturer has a default font w/o that glyph even though it is included in just about every 8-bit encoding since Latin-1 and if I remember correctly from years back is even part of the HTML 4.0 specification for soft hyphenation.
Embedding the font is the only way we can be sure every glyph we use is available - even with common codepoints like U+00AD.
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