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We show that strong non-Markovian effects can be revealed by the steady-state two-dimensional (2D) photon echo spectra at asymptotic waiting times. For this, we use a simple dimer toy model that is strongly coupled to a harmonic bath with parameters typical for photoactive biomolecules. We calculate the 2D photon echo spectra employing both the numerically exact hierarchy equation of motion and the quasiadiabatic path integral approach and compare these results with approximate results from a time-nonlocal quantum master equation approach. While the latter correctly reproduces the exact population dynamics at long times, it fails at the same time to correctly describe the 2D photon echo spectra at long waiting times. The differences show that non-Markovian effects are much more important for the steady-state 2D photon echoes than for the equilibrium populations. Thus, accurate theoretical descriptions of the energy transfer dynamics in biomolecular complexes have to be based on numerically exact simulations of the environmental fluctuations when nonlinear response functions are analyzed.