Well, I think the real question would be are you sharing across servers?
Assuming you are:
If it's a nominal amount of scripts that rarely get updated, you'd probably be better off copying. You'll save some load time if you have local copies instead of having to go to the internet to get the page.
Now if it's a lot of scripts, and you want to keep update headaches to a minimum, you should share them. You can just include or require them, since that supports http wrappers.
Assuming you aren't:
Who cares? They're all on the same filesystem :p
