Active matter may sometimes behave almost indistinguishably from equilibrium matter. This is particularly evident for some particle-based models and active field-theories close to a critical point which falls in the Ising universality class. Here we show however that, even when critical, active particles strongly violate the equilibrium fluctuation-dissipation in the high-wave-vector and high-frequency regime. Conversely, at larger spatiotemporal scales the theorem is progressively restored and the critical dynamics is in effective equilibrium. We develop a field-theoretical description of this scenario employing a space-time correlated noise field finding that the theory qualitatively captures the numerical results already at the Gaussian level. Moreover a dynamic renormalization group analysis shows that the correlated noise does not change the equilibrium critical exponents. Our results demonstrate that a correlated noise field is a fundamental ingredient to describe critical active matter at the coarse-grained level.