I think it depends on the audience of your site.
If your site is open to the public, and people will access it primarily or exclusively from the Internet, then you will benefit from the use of lower bandwidth, faster responses, and the benefits of caching, as it is likely that the file was previously specified and loading from another site is high.
If your site is internal to the intranet, you may run into problems of people who do not have access to the Internet, but you will also waste bandwidth as you send everyone over the Internet to get a file that you could host locally .
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