It seems like Jetpack has added //s0.wp.com by default in the DNS prefetching.
Removed //s0.wp.com from WP Rocket > Settings > Preload > Prefetch DNS requests, for now.
If //s0.wp.com sticks after some time then I won’t add it anymore to WP Rocket because that would be unnecessary.
Update: 19 Aug 2017
I confirmed with one of Automattic’s Happiness Engineers that //s0.wp.com has DNS prefetching by Jetpack by default. So no need for me to add this external host to WP Rocket.