In allosteric proteins, the binding of a ligand modifies function at a distant active site. Such allosteric pathways can be used as target for drug design, generating considerable interest in inferring them from sequence alignment data. Currently, different methods lead to conflicting results, in particular on the existence of long-range evolutionary couplings between distant amino-acids mediating allostery. Here we propose a resolution of this conundrum, by studying epistasis and its inference in models where an allosteric material is evolved in silico to perform a mechanical task. We find in our model the four types of epistasis (Synergistic, Sign, Antagonistic, Saturation), which can be both short or long-range and have a simple mechanical interpretation. We perform a Direct Coupling Analysis (DCA) and find that DCA predicts well the cost of point mutations but is a rather poor generative model. Strikingly, it can predict short-range epistasis but fails to capture long-range epistasis, in consistence with empirical findings. We propose that such failure is generic when function requires subparts to work in concert. We illustrate this idea with a simple model, which suggests that other methods may be better suited to capture long-range effects.