Exactly.
In the case of approved scripts, custom JARs pose a hypothetical risk, that using Groovy tricks they could be used to make a script do something very different from what it looks to be doing. No such attack should be possible just by depending on a plugin, unless of course the plugin were malicious—but we assume they are not, since if they were, they could already completely control Jenkins.
In the case of the Groovy sandbox, you can trivially add @Whitelisted to anything in a custom JAR, as well as perhaps using the aforementioned Groovy tricks, so clearly an administrator would need to review the JAR. Plugins which whitelist their own methods are assumed to be doing so because those methods are in fact safe.
I also want a feature to approve plugins that can be accessed from groovy scripts.