We consider the thermodynamic consistency of the charge response function in the (extended) Hubbard model. In dynamical mean-field theory (DMFT), thermodynamic consistency is preserved. We prove that the static, homogeneous DMFT susceptibility is consistent as long as vertex corrections obtained from the two-particle impurity correlation function are included. In the presence of a nonlocal interaction, the problem may be treated within extended DMFT (EDMFT), or its diagrammatic extension, the dual boson approach. We show that here maintaining thermodynamic consistency requires knowledge of three- and four-particle impurity correlation functions, which are typically neglected. Nevertheless, the dual boson approximation to the response is remarkably close to consistency. This holds even when two-particle vertex corrections are neglected. EDMFT is consistent only in the strongly correlated regime and near half-filling, where the physics is predominantly local.