It's... kinda madness. Just to be clear that we're talking about the same thing, here's the proposed process as I understand it:
1) load your loader script, which has the URLs, fingerprints of the scripts you want to run, and the necessary dependency information (jquery-ui must load after jquery for example). In the best case, this file is being served out by the same server that's hosting the HTML, that way at least you're not adding more attack vectors.
2) from the loader script, initiate ajax requests for each of the remote files you need
3) as you get each one back, validate that its signature matches those that are expected, raise an exception if it does not (ideally also displaying something to the user), and evaluating it if its signature matches and we've loaded all of its dependencies.
So, why is this madness?
1) Most of the time the reason that you're letting a third party host these files is for speed. They've got a CDN, and hopefully the file will already be cached by your user. Grabbing resources with javascript that you could load directly in the html will slow down your page's loading time, as the browser's html parser isn't able to look ahead and fetch resources that are likely to be needed before the renderer has asked (HTML has a defined rendering order that can be kinda strict sometimes, this is the same reason why you don't put your <script> elements in the <head>).
2) Another reason for using a CDN for your JS libraries is convenience, which this process also wipes out.
3) The whole thing won't work at all unless the third party server sends back cooperative CORS headers, as you can't do an ajax request to a third party site without their cooperation.
Finally though – and this is the big one – it's more convenient for the developers, strictly safer, and faster for the end user if you just compile all of the JS and serve from the same domain that's serving your HTML. As stated above, if that server is compromised, you're toast anyways (barring a browser extension or similar). If you really want some more security, look into SSL (and actually look into it, there's definitely much better and much worse ways of doing it).