The hyperpolarizabilities of five prototypical and four recently synthesized long-range charge-transfer (CT) organic compounds are calculated using short- and middle-range (SR and MR) hybrid functionals. These results are compared with data from MP2 and other DFT methods including GGAs, global hybrids, long-range corrected functionals (LC-DFT), and optimally tuned LC-DFT. Although it is commonly believed that the overestimation of hyperpolarizabilities associated with CT excitations by GGA and global hybrid functionals is the result of their wrong asymptotic exchange potential, and that LC-DFT heals this issue, we show here that SR and MR functionals yield results similar to those from LC-DFT. Hence, the long-range correction per se does not appear to be the key element in the well-known improved description of hyperpolarizabilities by LC-DFT. Rather, we argue that the inclusion of substantial amounts of Hartree-Fock exchange, which reduces the many-electron self-interaction error, is responsible for the relatively good results afforded by range separated hybrids. Additionally, we evaluate the effects of solvent and frequency on hyperpolarizabilities computed by SR and MR hybrids and compare these predictions with other DFT methods and available experimental data.