There are some good reasons in here (especially privacy), but I'm not convinced by the security point. It seems like the example linked about British Airways was JS under the britishairways.com domain being changed, not a third party CDN.

Incidentally, a few years ago when people were loading third party scripts over HTTP, I demoed a fun hack where, if you control a user's DNS, you could redirect queries to popular CDNs to a proxy that injects keylogger code and tells the browser to cache it indefinitely. Because at the time almost every site included either jQuery or Google Analytics, you'd have a persistent keylogger even after the user switched to a more secure connection. How far we've come!