Range-separated density-functional theory combines wave function theory for the long-range part of the two-electron interaction with density-functional theory for the short-range part. When describing the long-range interaction with non-variational methods, such as perturbation or coupled-cluster theories, self-consistency effects are introduced in the density functional part, which for an exact solution requires iterations. They are generally assumed to be small but no detailed study has been performed so far. Here, the authors analyze self-consistency when using Møller-Plesset-type (MP) perturbation theory for the long range interaction. The lowest-order self-consistency corrections to the wave function and the energy, that enter the perturbation expansions at the second and fourth order, respectively, are both expressed in terms of the one-electron reduced density matrix. The computational implementation of the latter is based on a Neumann series which, interestingly, even though the effect is small, usually diverges. A convergence technique, which perhaps can be applied in other uses of Neumann series in perturbation theory, is proposed. The numerical results thus obtained show that, in weakly bound systems, self-consistency can be neglected since the long-range correlation does not affect the density significantly. Although MP is not adequate for multireference systems, it can still be used as a reliable analysis tool. Though the density change is not negligible anymore in such cases, self-consistency effects are found to be much smaller than long-range correlation effects (less than 10% for the systems considered). For that reason, a sensible approximation might be to update the short-range energy functional term while freezing its functional derivative, namely, the short-range local potential, in the wave function optimization. The accuracy of such an approximation still needs to be assessed.