Hi,
Some development.
I disabled "Enable Protected Mode) on the internet zone (where the website is located) and in the advanced page I disabled "Enable Enhanced Protection Mode" in Internet Explorer 11 and the problem did no longer occur.
I know IE 11 makes use of appcontainers when enhanced protection mode is enabled, which I believe runs in the usercontext.
Maybe UEM does something with the appcontainer IE11 creates which causes the webfonts not to be downloaded/used.