Exactly, which is why using a big one, like Google's is my preferred option.

Yes, although this can be more limited in practice: unless you're using the exact same version of a resource as everyone else you're getting a cache miss. In the case of something like jQuery, there are such a wide range of in-the-wild versions that most users are going to end up with many cached releases other than the one which you're using.

That's not the end of the world as long as the CDN DNS + server connection overhead is reliably better than your own but if you already use a decent CDN that's not a given and it might prove a de-optimization if the resource in question can be delivered in less time than it takes to perform an otherwise unnecessary extra DNS lookup and server connection. For high latency networks that's worth monitoring and reviewing closely as it's often a net-loss.

You bring up a good point. For stuff like this where the resource is plausibly already loaded before the user ever even visits your site you may want to look at what version of this library your users are most likely to have preloaded.

You probably want to devise a scoring function based on likelihood that the resource is loaded already and cost if it is not and rank your CDN options based on that.