There are tradeoffs either way. For popular modules it might already be in your browser cache if another app used the module recently. Plus being a CDN it's probably being served by a machine closer to the user. And if your whole site is running of a CDN then you're relying on a 3rd party anyway.
- Safari double keys it's cache to prevent 3rd-parties tracking across sites
- Usage of common libraries is just too low for their to be a critical mass
A whole site running on a CDN still involves only one connection, will make use of the throughput growing the TCP congestion window grows, and a decent CDN is likely to be more reliable than the origin
Benchmark for your users.