I asked about the same thing recently and was told that proper integration is on the cards, but it might take some time while Ludei and Scirra work out the issues. The feature you mentioned has been removed while that happens.
Here's a workaround for now:
A: Set font face individually per text object in actions -> Font -> set font face (or do it all at once with a family).
B: When you export your project for CocoonJS, create a new folder in the zip called fonts and place your font file there.
Based on the changelog for R117 this workaround could cause compatibility issues but I use this solution with my own project and it works fine.