The capability of molecular density functional theory in its lowest, second-order approximation, equivalent to the hypernetted chain approximation in integral equations, to predict accurately the hydration free-energies and microscopic structure of molecular solutes is explored for a variety of systems: spherical hydrophobic solutes, ions, water as a solute, and the Mobley's dataset of organic molecules. The successes and the caveats of the approach are carefully pinpointed. Compared to molecular simulations with the same force field and the same fixed solute geometries, the theory describes accurately the solvation of cations, less so that of anions or generally H-bond acceptors. Overall, the electrostatic contribution to solvation free-energies of neutral molecules is correctly reproduced. On the other hand the cavity contribution is poorly described but can be corrected using scaledparticle theory ideas. Addition of a physically-motivated, one-parameter cavity correction accounting for both pressure and surface effects in the nonpolar solvation contribution yields a precision of 0.8 kcal/mol for the overall hydration free energies of the whole Mobley's dataset. Inclusion of another one-parameter cavity correction for the electrostatics brings it to 0.6 kcal/mol, that is k B T. This is accomplished with a three-orders of magnitude numerical speed-up with respect to molecular simulations.