Because of modern cache partitioning, HTTP/2+ multiplexing, and sites themselves being served off CDNs, external CDNs are now also worse for performance.
If you use them, though, use subresource integrity.
Funnily enough I can't set up CDN on Azure at work because it's not approved but I could link whatever random ass CDN I want for external dependencies if I was so inclined.
If you use them, though, use subresource integrity.