I used to distrust CDNs, back in the day. What if it gets compromised or is down? What about privacy?
But these days there is subresource integrity, so no worries about being compromised (assuming it's not yet compromised at the time you're copying/calculating the hash).
And realistically, my servers are down a lot more often that most CDN's. This, and delivery speed, depend on the scale and quality of your service versus the CDNs.
For privacy concerns there is referrer policy, which might help some. Maybe nit enough...
CDN is good for caching, and it's very easy to set up, of course.
One reason to host your own files would be if you want to review the code and minify it yourself, to rule out any exploits in the minified version. That's a good idea, but few businesses have the time for that.