The answer to this question has two sides...
If you host the libraries yourself then you have to check the security notices on the library regularily and update the library accordingly. This can be a very time consuming task if you include several libraries which must be updated independently.
On the other side you can audit each library you use.
Additionally you have to prevent any attack to this libraries yourself. If you detect an attack you can handle this very fast.
If you use a CDN then the ownder of the CDN updates all libraries for you. You have no work with updating the libraries yourself.
The audit for the libraries are (hopefully) done by the company of the CDN. You cannot influence this audit.
A CDN should prevent any attack to the hosted libraries. If an attack is detected then the CDN will handle this attack. Perhaps the libraries are compromised and the CDN is delvivering modified libraries which can infect your customers...
The CDN lowers your work with the libraries as they do much work that has to be done by you otherwise.
On the other side you have to trust the company of the CDN to handle all security issues fast enough to not harm your customers.