I think, normally, a widget does not need all stuffs in Dojox, so you have to find which libraries (and their dependencies) you need and add them into your widget. Second, it may not be a good idea to copy your libraries into mxclientsystem because you are not always able to do that, you have to do that for all the new releases of Mendix, not all applications need them, and including libs in Widget is always nicer.
You could load the dojo libraries from your project's index page using standard javascript.
<script src="//ajax.googleapis.com/ajax/libs/dojo/1.6.1/dojo/dojo.xd.js"></script>