The Fenna-Matthews-Olson (FMO) complex -a pigment protein complex involved in photosynthesis in green sulfur bacteria -is remarkably efficient in transferring excitation energy from light harvesting antenna molecules to a reaction center. Recent experimental and theoretical studies suggest that quantum coherence and entanglement may play a role in this excitation energy transfer (EET). We examine whether bipartite quantum nonlocality, a property that expresses a stronger-than-entanglement form of correlation, exists between different pairs of chromophores in the FMO complex when modeling the EET by the hierarchically coupled equations of motion method. We compare the results for nonlocality with the amount of bipartite entanglement in the system. In particular, we analyze in what way these correlation properties are affected by different initial conditions. It is found that bipartite nonlocality only exists when the initial conditions are chosen in an unphysiological manner and probably is absent when considering the EET in the FMO complex in its natural habitat. It is also seen that nonlocality and entanglement behave quite differently in this system. In particular, for localized initial states, nonlocality only exists on a very short time scale and then drops to zero in an abrupt manner. As already known from previous studies, quantum entanglement between chromophore pairs on the other hand is oscillating and exponentially decaying and follow thereby a pattern more similar to the chromophore population dynamics. The abrupt disappearance of nonlocality in the presence of nonvanishing entanglement is a phenomenon we call nonlocality sudden death; a striking manifestation of the difference between these two types of correlations in quantum systems.