The third-harmonic generation and nonlinear absorption of linear molecular aggregates with energetic disorder are numerically simulated. A comparison is made between the local-field approximation (LFA) and exact response theory, and it is shown that the validity of the LFA does not improve in the presence of energetic disorder ranging up to the intermolecular interaction. The breakdown of size-enhancement of optical nonlinearities caused by energetic disorder is investigated and scaling laws relating the nonlinear response to the delocalization range of the exciton states are obtained