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Coarse-grained models have emerged as valuable tools to simulate long DNA molecules while maintaining computational efficiency. These models aim at preserving interactions among coarse-grained variables in a manner that mirrors the underlying atomistic description. We explore here a method for testing coarse-grained vs. all-atom models using stiffness matrices in Fourier space ($q$-stiffnesses), which are particularly suited to probe DNA elasticity at different length scales. We focus on a class of coarse-grained rigid base DNA models known as cgDNA and its most recent version cgDNA+. Our analysis shows that while cgDNA+ follows closely the $q$-stiffnesses of the all-atom model, the original cgDNA shows some deviations for twist and bending variables which are rather strong in the $q \to 0$ (long length scale) limit. The consequence is that while both cgDNA and cgDNA+ give a suitable description of local elastic behavior, the former misses some effects which manifest themselves at longer length scales. In particular, cgDNA performs poorly on the twist stiffness with a value much lower than expected for long DNA molecules. Conversely, the all-atom and cgDNA+ twist is strongly length scale dependent: DNA is torsionally soft at a few base pair distances, but becomes more rigid at distances of a few dozens base pairs. Our analysis shows that the bending persistence length in all-atom and cgDNA+ is somewhat overestimated., Comment: 9 pages, 6 figures