I think it's a bad question, typical for Kaplan. Peptide hormones can have effects that are long-lasting too. Insulin-like growth factor 1 has permanent effects on bone length and on the development of many other cells. It's just that the effects of steroid hormones usually can't be reversed unlike many peptide hormones. For example, estradiol secretion during puberty will make women grow breasts; if you lower the estradiol, the breasts will still be there. With a peptide like epinephrine, there will be a temporary increase in blood pressure, heart rate, glucose, etc. but the body will return to a normal physiological state once the concentration is reduced.
I doubt such a **** question would ever come up on the MCAT. The "most correct" answer would be steroids though.