The cost of an analytics request
The performance conversation about analytics usually stops at the size of the script, which is the least interesting part.
What actually costs time is everything before the script arrives. A DNS lookup to a domain the browser has not seen. A TLS handshake with a host that is not yours. Sometimes a redirect. Then a loader that fetches the real payload from somewhere else.
On a fast connection that is a couple of hundred milliseconds nobody notices. On a phone with two bars it is a second and a half, and it lands during the window where people decide whether to wait.
Serving the same thing from your own domain removes the lookup, the handshake and the redirect before you have optimised a single byte. It is the rare performance improvement that is mostly a matter of where a file lives.