In this paper we investigate the relation between the scaling properties of the linear response function R(t,s), of the thermoremanent magnetization (TRM) and of the zero-field-cooled (ZFC) magnetization in the context of phase-ordering kinetics. We explain why the retrieval of the scaling properties of R(t,s) from those of TRM and ZFC magnetization is not trivial. Preasymptotic contributions generate a long crossover in TRM, while ZFC magnetization is affected by a dangerous irrelevant variable. Lack of understanding of both these points has generated some confusion in the literature. The full picture relating the exponents of all the quantities involved is explicitly illustrated in the framework of the large-N model. Following this scheme...