I don't think we have a pre-set policy in this regard, though the rules for chat kinda touch on this subject.
On the one hand the ultimate responsibility lies with the end user. Someone using a font should ensure they have the requisite rights to do so, regardless of how they obtained said font. Whether they got it from a reputable site, a questionable site or it came pre-installed on their machine.
On the other, it never hurts to point this out to others. If you think a site linked in an answer is questionable, you can always take action.
As I see it, there are three options:
Comment on the answer, pointing out the site linked in the answer is of questionable reputation and the user should beware using the font in their work.
Edit the answer to add a link to the same font on a more reputable site. You can leave a comment on the answer stating the reason of your edit.
Flag the answer for mod attention if you think the answer links to an illegal site (not just shady, but actually illegal). I couldn't really find an sitewide SE policy, though this is probably relevant.
Whatever you choose to do, refrain from censoring. Never go in and delete the link. Flag it for mod attention if you must, but leave it be.