We show that for infinitely many primes $p$, there exist dual functions of order $k$ over $\mathbb{F}_p^n$ that cannot be approximated in $L_\infty$-distance by polynomial phase functions of degree $k-1$. This answers in the negative a natural finite-field analog of a problem of Frantzikinakis on $L_\infty$-approximations of dual functions over $\mathbb{N}$ (a.k.a. multiple correlation sequences) by nilsequences.