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You should absolutely use the Google CDN for jQuery (and this is coming from a Microsoft-centric developer).
It's simple statistics. Those who would consider using the MS CDN for jQuery will always be a minority. There are too many non-MS developers using jQuery who will use Google's and wouldn't consider using Microsoft's. Since one of the big wins with a public CDN is improved caching, splitting usage among multiple CDNs decreases the potential for that benefit.
As stated by Pingdom:
When someone visits your site, if they have already visited another site that uses the same jQuery file on the same CDN, the file will have been cached and doesn’t need to be downloaded at all. It can’t get any faster than that.
This means that the most widely used CDN will have the odds on its side, which can pay off for your site.
A few observations on performance: Google’s CDN is consistently the slowest of the three both in North America and Europe. In Europe, Microsoft’s CDN is the fastest.