I have created a new font class, derived from dlib::font, but the widgets do not appear to support fonts other than the default font. For example, dlib::label has a set_color method and a set_text method, but no set_font method.
The font class is a bitmap font with a parser for the BDF file format. There are BDF files available under permissive licenses for different typefaces and font sizes, as well as different non Latin alphabets (Unicode).
I don't really know C++ well enough to contribute to a library like this, but if there is interest then will try to weed out some embarrassments, clean up the code and submit a patch. (I had to make a couple of adjustments to the font base class as well in order to enable Unicode support.)