I'm wondering if we can serve this JS from our domain, rather than the client request it from dl.episever.net?
Yes, you can serve this from your own domain.
Have a look at my blog post: https://www.gulla.net/en/blog/episerver-find-and-the-great-wall-of-china/
You may skip directly to the "The Solution" heading, at the bottom.
Another thing, can i load find.js script as async and more later, for example: previous close </body>