Should dependent libraries list all dependencies?
In general, a library (or any entity/resource in programming that depends on other entities/resources) should only include dependencies for things that it actually uses.

Given your example, bar and baz should depend on jQuery if they use jQuery functions directly. If, however, they only use functions that are provided by foo (which, in turn, uses jQuery), then bar and baz should not depend on jQuery.

Here's another way to look at it: in the future, if foo no longer needs jQuery, and you remove jQuery as a dependency from foo, do bar and baz break as a result? If they break, then they should have had a direct dependency on jQuery. If they don't break (because all of the jQuery dependency is encapsulated in foo), then they don't need a dependency.