That being stated, having the JQuery file in the browser cache is almost like having it "built in" to the browser in that it doesn't have to be downloaded again. That's the reason for calling a library from a central repository like Google or JQuery.com. In all likelihood, your user has been to another site using the same library from either Google or JQuery and the file already is "built in" to their browser and doesn't have to be downloaded again. However if you host that library on your site the browser thinks it's a different library, even if it has the same filename, and downloads it again.
A real world example: I have a photo gallery script on a couple of sites that uses HTML5, CSS3, and JQuery to present thumbnails and full-size photos in a really slick display. I call the JQuery library like this:
But if I was hosting it on my site the code would look something like:
To a browser those are 2 different files, even if the contained code is exactly the same. The link to googleapis would probably return a 304 to a browser and the file would load from cache. The "local" link would download the library from your site the first time a user hits a page needing it.
More confusion, I suppose. Sorry for being so wordy...