This is true except for when you use the document (page template) default set font, Egg.
For example.
Open a Xara Designer web page template where the document default is set as 'Arial' (Xara's default setting) - add some text then view the page and source, you won't see the font family statement 'inline' as it's stated in the xr_main.css which the browser sees via the head comment <link rel="stylesheet" type="text/css" href="index_htm_files/xr_text.css"/>.
If you then change the font face to Trebuchet MS then you will see it written in line in the HTML source because this is not the document default font. But, make your own page template and set the font to 'Trebuchet MS' enter some text, view the page and the the source and again you won't see this font mentioned in line because it is written to the xr_main.css and declared in the head as <link rel="stylesheet" type="text/css" href="index_htm_files/xr_text.css"/>.
Using a font which is not the default for the page template and Xara Designer's HTMLfilter will write it in line because it differs from the document default as stated in the xr_main.css

(There is more where custom fonts are concerned, but I won't mention this here)