No CORS header when loading file locally

I have a html file on my server that has a link tag with css href.
Inside that css there is a @font-face pointing to a font .woff2 file, also on my site.
I put a .htaccess file in the folder where the font is, this file provides allow-cross-origin header.

When I open my page in the browser, I can see that network response for the font file has the header in it.

If I open this html file locally in a node server, I see the response for the font comes w/o the cross-origin header and the browser blocks it.

In both cases font response comes from CF.

Why is it happening? How can I make it work for the local page?

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