This is very rarely true, and often cited. Too many sources to get reasonable gains for cached jQuery. There was a good article breaking down exactly why this is a few years back. Mobile but someone else can probably share.
jQuery.com doesn't mention linking to it, only downloading, and references to their CDN and other CDNs is at the bottom of their Download page. They focus on the download option probably because people generally want to have more control of their sites and would rather have "their" jQuery file be loaded from the same CDN as their site's other assets.