Well, a robot/team jar file is just a zip file containing the class files, source files, and properties files. The properties file is meta-data about the robot or team used by Robocode.
So the jar file does not serve as a library like an executable jar file. Hence, it does not make sense to include other jar files, as Robocode is not extracting (embedded) jar files inside the robot/team jar files.
But you are right that you could add the sources of the library inside the robot. You simply add those sources to your robot project, compile all the code, and use the robot archiver as usual to create a robot archive. :-)
Note that you can use normal zip tools for opening the jar files to see what they contain (just rename the .jar into .zip). :-)
Cheers,
- Flemming