It's very likely that people would already have the CDN version in their browser cache since a lot of website use that link.
This is a popular claim, but what little real data I've seen says quite the opposite. There are so many different minor versions of a library like jQuery that the chance of any given visitor to your site actually having visited another site using the exact same version from the exact same CDN within the cache window turns out to be pretty low.
There are not that many version of jquery in use, and anyways the odds of that same visitor having your local version on his first visit are ZERO, which is basically the worst case scenario. Given the fact that this is a third-party library that you are unlikely to modify, hosting it on your own servers provides no advantage whatsoever. Just monitor the CDN like you do for your own resources.