JQuery, Bootstrap and Fontawesome are not softwares or applications that you install in a webpage. They are just CSS and Javascript files. So these are like any other javascript or CSS file you may have written from scratch for your webpage. Except that they are well maintained, highly optimized and made for a particular application. (Like Bootstrap primary purpose is to provide a framework for making webpages responsive.)
To include them to a webpage all you have to do is tell the HTML file to use those files. And this is done by linking them to the HTML using the <script>
tag and its src
* attribute. (*W3schools link. Hehe).
Now in src
attribute you may provide a URL to a location on the web containing the file or you may provide a relative local path to a location in your server or local machine containing the file. Yes, you can manually drag the files into your css/js folder and just include the files using that path. No Im not aware of any softwares to automate the process. But you need only place the file in one location for an entire webpage and its sub pages to access it. So its not a very intensive process.
As for why CDN's host such files for public access, an insight is given here : How cloudfare provides free service. And security, well, they are pretty darn secure, it is literally their job to provide secure access to the files they host. And why people use CDN in the first place is because this (in short performance).
Update:
As for how to include files in your HTML, it goes like this (Bootstrap example) :
<link rel="stylesheet" href="static/bootstrap/css/bootstrap.min.css">
<script type="text/javascript" src="static/bootstrap/js/bootstrap.min.js"></script>
You need to provide the path to the required CSS and JS files. In the case of Bootstrap these two are the only ones you need to include to get full functionality of the library.