This work aims at reconsidering several interpretations coexisting in the recent literature concerning non-linear susceptibilities in supercooled liquids. We present experimental results on glycerol and propylene carbonate showing that the three independent cubic susceptibilities have very similar frequency and temperature dependences, both for their amplitudes and phases. This strongly suggests a unique physical mechanism responsible for the growth of these non-linear susceptibilities. We show that the framework proposed by two of us [BB, Phys. Rev. B 72, 064204 (2005)], where the growth of non-linear susceptibilities is intimately related to the growth of glassy domains, accounts for all the salient experimental features. We then review several complementary and/or alternative models, and show that the notion of cooperatively rearranging glassy domains is a key (implicit or explicit) ingredient to all of them. This paves the way for future experiments which should deepen our understanding of glasses.