The performance of approximate theories for the collective nonlinear optical response of assemblies of interacting molecules is investigated by comparing their predictions to exact calculations. To this end, the nonlinear absorption coefficient of linear molecular aggregates with energetic disorder is studied with the aid of Monte Carlo simulations. It is shown that the well-known local-field approximation (LFA) cannot describe the near-resonance nonlinear absorption spectrum for disorder values up to the nearest-neighbor intermolecular interactions; surprisingly, it is found that the validity of the LFA does not at all improve with growing disorder. By contrast, the ''excitonic two-level system'' approximation, in which each collective one...