Just figured....
First of all some sharing, In order to embed my custom font for spark as well for mx components I used:
s|global
{
fontFamily: [MY_CUSTOM_FONT];
fontSize: 14;
textFieldClass: ClassReference("mx.core.UIFTETextField");
}
This is works for most mx components.
Now, we are using mx components AdvancedDatagrid and AdvancedDataGridItemRenderer (not MXAdvancedDataGridItemRenderer Which is actually a spark component).
In that case I had to change my CustomAdvancedDataGridItemRenderer to extends FTEAdvancedDataGridItemRenderer instead of just AdvancedDataGridItemRenderer.
Which solve the problem! Hurrah!