Using closed-time path two-particle irreducible coarse-grained effective action (CTP 2PI CGEA) techniques, we study the response of an open interacting electronic system to time-dependent external electromagnetic fields. We show that the CTP 2PI CGEA is invariant under a simultaneous gauge transformation of the external field and the full Schwinger-Keldysh propagator, and that this property holds even when the loop expansion of the CTP 2PI CGEA is truncated at arbitrary order. The effective action approach provides a systematic way of calculating the propagator and response functions of the system, via the Schwinger-Dyson equation and the Bethe-Salpeter equations, respectively. We show that, due to the invariance of the CTP 2PI CGEA under external gauge transformations, the response functions calculated from it satisfy the Ward-Takahashi hierarchy, thus warranting the conservation of the electronic current beyond the expectation value level. We also clarify the connection between nonlinear response theory and the WT hierarchy, and discuss an example of an ad hoc approximation that violate it. These findings may be useful in the study of current fluctuations in correlated electronic pumping devices.