The request is being made from the client to a server in both cases, so the question is which server will return the data quickest which is hard to know.
A (theoretical) advantage of using a CDN location is that a user's browser may already have a copy of the file cached because of some other web. But given that different web pages are likely to be using different versions of things like jQuery I doubt that this happens very often.
The benefit of serving the file from Salesforce is that then all the content for your application is coming from one hosting company - Salesforce - that hopefully your customer trusts. Using a CDN adds a second hosting company to the mix and so more risk (of a security breach resulting in the content being hacked).