The benefit of a CDN is not (and should not be) for you. It is for your customers / users. Using CDN files - especially for widely used libraries like jQuery (or any other big library) - means they will receive a cached copy of the file from a physical location near them. In most cases, using a popular CDN for big libraries means the user has also downloaded that resource before - from someone else's site - so the file will be cached locally in their browser.
This helps reduce the time your user spends downloading files. It is not about your server load or your development ability in all but the smallest margin of edge cases. Think about your users first!
Using a CDN for most static files is strictly better for your users.
