We adding HTML by jQuery but not CSS. It is not very consist for me because user w/o JS still download CSS for JS only

Browsers, in the main options controls, can be set to not load JavaScript, yet will always load CSS. Preventing CSS from loading can be changed in the browser's developer tools or browser plugins, for example, but this option is not typically available in the standard options. JavaScript can affect potential security issues so that's why the option is there. CSS can only affect the display of the layout.

In regards to your last question, jQuery can be used to include additional CSS, although it is generally not preferred as then there is really no way to change the look and feel without editing the js code. Typically the rule of thumb is to keep layout display separate from the logic as much as possible. For example, if one were creating a jQuery plugin then also create a separate CSS file to accommodate it so that users of the plugin can adjust the styles to their preferences.