Let's discuss about the applications that are injected into your theme from a developer point of view.
Shopify apps provide an easy way to extend your store functionality. A store owner can easily install an application within minutes. The costs are really affordable comparing to custom development. I can really see the appeal here. The default loading is on the "onload" event, this fires when the entire page loads, including its content (images, css, scripts ...). Makes sense in most cases. Some apps have a low impact on the overall performance.
We do not have control.
The onload event execution can also be problematic. Sometime you want your application to kick in early and not wait for the whole page to load. One example would be a geo IP redirect or age verification.
Being on different servers the browser will need to resolve a new DNS for each of these assets. This can take time. You will be loading those JS files from the vendor server, not the top notch Shopify CDN. There is no service guarantee here, that server can be slow or even down.
This is the part where you need to be concerned.
A bad approach is for each application to include its own jQuery version. Besides the fact that jQuery is not really needed in 2019 and adds additional payloads, I've seen many times compatibility issues between the theme jQuery and application jQuery versions. If your theme uses jQuery 3.1 and and application is loading jQuery 1.2 you can get into trouble. At some point on a client store we had 5 different versions on jQuery.
If applications are loaded on the onload event does it matters?
I wish Shopify would give both store owners and application developers better tools for dealing with 3rd party applications. display_scope could be used to fine tune where those applications are loaded. Multiple events can also help us to control onload, defer or async execution. But most important I wish application vendors will be more sensitive and responsible on the code they provide.