I can't speak for why Gideon decided not to use Google's CDN for jQuery, maybe at the time jQuery was added it was not very popular?
One good reason for using a local version is that you always know it's there. The externally hosted file could go down at any point (though very unlikely for Google CDN), or be blocked by a company firewall or in a particular country (I believe the Google one is blocked in China). It could also be an issue for local development if you don't have an internet connection.
Some people may also be concerned with privacy/security. Again, shouldn't be an issue with the Google CDN but at any point they could start tracking users fetching the JS file.
These issues can generally be solved by linking to the CDN version with a local fallback. But I think there should still be an option not to use the Google CDN at all. Also with the latest jQuery there are two versions providing slightly different browser support.
I'll look into this for the next Q2A version.