1. You realise caches, even for third party assets are partitioned by host domain in most modern browsers now? So you're not getting a benefit that users loaded the script from someone else's site.
2. For saving bandwidth on the server are you using proper cache setup with etags and If-Modified-Since support? It shouldn't have to download a first party asset again if it's in the cache. It's worth pointing out that non-ancient versions of all major web servers do this by default.
3. Haven't you now added latency by first making users download the loader script, have that execute, and then start loading the dependencies?