One reason not to use CDN-hosted common scripts is to not share visitors statistics with the CDN. Believe it or not, but it is a valid concern for many businesses.
When it's cached, your browser won't make an HTTP request to the CDN. That's the entire point.
They can do some VERY ROUGH back of the envelope calculations to figure out based on cache-expiry headers and number of requests how many new people you are bringing to JQuery but not much else. Dan Kaminsky proved this earlier in his DNS/TTL cache sniffing tricks.
And by the time you are large enough to have an impact, your audience will be large enough for you to justify using your own JQuery hosted URL.
