We investigate the extent to which the dynamics of excitons in the light-harvesting complex LH2 of purple bacteria can be described using a Markovian approximation. To analyse the degree of non-Markovianity in these systems, we introduce a measure based on fitting Lindblad dynamics, as well as employing a recently introduced trace-distance measure. We apply these measures to a chromophore-dimer model of exciton dynamics and use the hierarchical equation-of-motion method to take into account the broad, low-frequency phonon bath. With a smooth phonon bath, small amounts of non-Markovianity are present according to the trace-distance measure, but the dynamics is poorly described by a Lindblad master equation unless the excitonic dimer coupling strength is modified. Inclusion of underdamped, high-frequency modes leads to significant deviations from Markovian evolution in both measures. In particular, we find that modes that are nearly resonant with gaps in the excitonic spectrum produce dynamics that deviate most strongly from the Lindblad approximation, despite the trace distance measuring larger amounts of non-Markovianity for higher frequency modes. Overall we find that the detailed structure in the high-frequency region of the spectral density has a significant impact on the nature of the dynamics of excitons.