Solved the issue temporarily on wpengine by adding a HTML Post-Processing rule.
You can add these on your website when using wpengine: wpengine (link) -> general settings -> find block HTML post-processing rule

#https?://cdn.YOURDOMAIN.com/(wp-content/themes/woodmart/fonts)/woodmart-font.woff# => https://www.YOURDOMAIN.com/$1/woodmart-font.woff

Still the css generator should generate a CDN path for the font, hope it will be fixed in upcoming release

Hope this helps someone.