With jQ, you're most likely defining the version you need, so getting upstream improvements with jQ is a bit more involved than the library simply updating itself if you aren't using the edge version.
A better argument for using a CDN is that jQ library is likely going to be cached if the user's been on the web for more than 5 minutes. Chances are, your version will be one that's cached and, instead of waiting for the downloading of a library that already exists on the users system, the library is immediately loaded and perceived PLT is decreased as a result.
There are also numerous CDNs out there, I would use a fallback stack to ping the next CDN in line as it would be a cold day if every major CDN that hosts jQ were to lose SSL support for a time.