Self Consistent Field (SCF) theory serves as an efficient tool for studying mesoscale structure and thermodynamics of polymeric liquid crystals (LC). We investigate how some of the intrinsic approximations of SCF affect the description of the thermodynamics of polymeric LC, using a coarse-grained model. Polymer nematics are represented as discrete worm-like chains (WLC) where non-bonded interactions are defined combining an isotropic repulsive and an anisotropic attractive Maier-Saupe (MS) potential. The range of the potentials, σ, controls the strength of correlations due to non-bonded interactions. Increasing σ (which can be seen as an increase of coarse-graining) while preserving the integrated strength of the potentials reduces correlations. The model is studied with particle-based Monte Carlo (MC) simulations and SCF theory which uses partial enumeration to describe discrete WLC. In MC simulations the Helmholtz free energy is calculated as a function of strength of MS interactions to obtain reference thermodynamic data. To calculate the free energy of the nematic branch with respect to the disordered melt, we employ a special thermodynamic integration (TI) scheme invoking an external field to bypass the first-order isotropic-nematic transition. Methodological aspects which have not been discussed in earlier implementations of the TI to LC are considered. Special attention is given to the rotational Goldstone mode. The free-energy landscape in MC and SCF is directly compared. For moderate σ the differences highlight the importance of local non-bonded orientation correlations between segments, which SCF neglects. Simple renormalization of parameters in SCF cannot compensate the missing correlations. Increasing σ reduces correlations and SCF reproduces well the free energy in MC simulations.