Вот так заработало, как надо:
X++:
$("<link/>", {
rel: "stylesheet",
type: "text/css",
href: "http://crm/ISV/jquery-ui-1.11.4/jquery-ui.min.css"
}).appendTo("head");
$("<link/>", {
rel: "stylesheet",
type: "text/css",
href: "/WebResources/new_DialogAppCSS"
}).appendTo("head");
Mscrm.ScriptLoader.prototype.addIncludeExternalSync(null, '/WebResources/new_jquery.min');
Mscrm.ScriptLoader.prototype.addIncludeExternalSync(null, '/WebResources/new_xrmservicetoolkit.min');
Mscrm.ScriptLoader.prototype.addIncludeExternalSync(null, 'http://crm/ISV/jquery-ui-1.11.4/jquery-ui.min.js');
(function ($) {
$("<div id='dialogx'><iframe scrolling='no' src='http://www.w3schools.com'></iframe></div>").dialog({
title: "jQ UI Dialog",
resizable: false
});
})(window.xrmjQuery);