Mr. Google to the rescue and the trick is to modify the jmeter.properties file in the JMeter bin directory.
# Maximum redirects to follow in a single sequence (default 5)
Modify the above line in that file to increase the maximum from the default of 5. In my case, I found 20 to be adequate.
You need some kind of upper limit because otherwise the trace could just get stuck in a loop.
Note that you have to restart JMeter after making this change.