All using a CDN for JS libraries does is have the same exact code get to the user faster and not eat your bandwith. Unless the CDN threw some extra code in, which someone would eventually notice (seriously marring the company's reputation), it doesn't send any info to the company hosting the code.
But it is a good point. You should make sure you really trust the company hosting the code for you.
Edit: Oh, right. When I read the comment I was thinking more of it letting them steal all of the info on the page, or something, which would be doable if they inserted extra code.