See this script:

http://userscripts.org/scripts/review/23400

it has the following line:
include('http://www.biharonnet.com/script/os.js');

so, it refers and loads and executes a script that is on some other site.

Even if userscripts guy vet that script on other site, that script can be changed anytime later on that site and the changed script will get loaded/ installed/ executed in everybody's ff.

What do you think about such a scenario?

I think that sometimes it can be useful, but in general you should either:
1. Borrow the code and copy it into your script (so it doesn't change on you). Beware copyrights with this one.
2. Use the unsafe window to get to it (presumably, it's including a script that will be executed on the page anyway).

This is to avoid the sticky situation wherein the script you include is modified out from under you.

-Joel