Long-range corrected hybrid density functionals (LC-DFT), with range separation parameters optimally tuned to obey Koopmans' theorem, are used to calculate the first-order hyperpolarizabilities of prototypical charge-transfer compounds p-nitroaniline (PNA) and dimethylamino nitrostilbene (DANS) in the gas phase and various solvents. It is shown that LC-DFT methods with default range separation parameters tend to underestimate hyperpolarizabilities (most notably in solution) and that the tuning scheme can sharply improve results, especially in the cases when the standard LC-DFT errors are largest. Nonetheless, we also identify pathological cases (two pyrrole derivatives) for which LC-DFT underestimates the hyperpolarizabilities, regardless of tuning. It is noted that such pathological cases do not follow the usual inverse relation between the hyperpolarizability and amount of exact exchange, and thus this behavior may serve as a diagnostic tool for the adequacy of LC-DFT.