This turned out to be a bug. The setting applied for messages sent towards the script service (primarily your code) but not towards messages coming back from the script service (the list of transactions). Fixed in Apply grpc-max-message-size in both directions in the script service by cocreature · Pull Request #12149 · digital-asset/daml · GitHub.
That said, the example is so large that viewing the script results in Daml Studio is pretty slow and it’s impossible to understand anything so I’d still recommend to try to split it up.