It says here the direct link is actually the fastest:
"The preferred way is to load libraries through standard tags (as in the script src =" https://ajax.googleapis.com/ajax/libs/jquery/1.4.2/jquery.min.js ">, which will lead to the fastest loads .
It says that several reasons for using Load are that you can get the latest version automatically or specify the language or automatically load (or not) load) css files, etc.
source share