This is a very nice question. There is indeed a simple way to see that a non-abelian theory will be of shorter range than an abelian one.
The action of a gauge theory, generically contains terms of the form $ Tr[F F] $ or $ Tr[F \star F] $, where $ F $ is the curvature or field strength of the gauge connection. For an abelian connection $A_\mu$, the field strength is of the form:
$$ F_{\mu\nu} = \partial_{[\mu}A_{\nu]} $$
where the $ [ \dots ] $ represents antisymmetrization over the indices within the brackets.
Consequently the $F^2$ type terms in the action are of the form:
$$ F^2 \sim (\partial A) (\partial A) $$
For a non-abelian connection $A_\mu^I$, where $I$ is now an index in the lie algebra of some non-abelian group, we have:
$$ F^I_{\mu\nu} = \partial_{[\mu}A^I_{\nu]} + f^I_{JK}[A^J_\mu,A^K_\nu] $$
where $ f_{IJK} $ are the structure constants of the group in question.
Consequently the $ \mathcal{O}(F^2) $ terms in the action now contain terms of the form:
$$ (\partial A) A^2 \textrm{ and } A^4 $$
These are self-interaction terms which will, in general, endow the connection $A^I_\mu$ with a mass - in a suitable symmetry broken phase of the theory. And a massive gauge particle leads to a short range (and/or confining) interactions.
That's the gist of it. There are likely other ways to approach the problem, but this is the one I'm most familiar with.
In response to some comments I'd like to quote the following line from the Jaffe-Witten paper introducing the Yang-Mills problem as part of the Clay math prize:
" ... One view of the mass gap in Yang–Mills theory suggests that it could arise from the quartic potential $(A \wedge A)^2$ in the action, where $ F = dA + g A \wedge A $, see [11],
and may be tied to curvature in the space of connections, see [44].
The reference [11] cited in the line above is a paper by Feynman where he studies SU(2) gauge theory in 2+1 dimensions and concludes the gauge invariance dictates the presence of a mass gap.
One can argue about fixed points and phases and whatnot at different temperatures. But unless you have something that beats Jaffe, Witten and Feynman I guess it is safe to conclude that @robert's intuitive guess that the non-linear nature of non-abelian gauge theory is responsible for its short-range/massive/confining character is right on target.