Topological insulator (TI) thin films with surface magnetism are expected to exhibit a quantized anomalous Hall effect (QAHE) when the magnetizations on the top and bottom surfaces are parallel, and a quantized topological magnetoelectric effect (QTME) when the magnetizations have opposing orientations (axion-insulator phase) and the films are sufficiently thick. We present a unified picture of both effects that associates deviations from exact quantization of the QTME caused by finite thickness with nonlocality in the sidewall current response function. Using realistic tight-binding model calculations, we show that in Bi2Se3 TI thin films, deviations from quantization in the axion-insulator phase are reduced in size when the exchange coupling of tight-binding model basis states to the local magnetization near the surface is strengthened. Stronger exchange coupling also reduces the effect of potential disorder, which is unimportant for the QAHE but detrimental for the QTME, which requires that the Fermi energy lie inside the gap at all positions.