The consistency with Onsager's theorem is examined for commonly used perturbative approaches, such as the Redfield and second-order von Neumann master equations, for thermoelectric transport through nanostructures. We study a double quantum dot, which requires coherences between states for a correct description, and we find that these perturbative approaches violate Onsager's theorem. We show that the deviations from the theorem scale with the lead-coupling strength in an order beyond the one considered systematically in the respective approach.