Removing the limit on the number of nested comments

thread_comments_depth is the option you need to change, and while the dropdown gives you several predefined values, the option can store any value.

So if you use the dev tools to adjust the dropdown to add a 9999 option, you can set it to a max of 9999 nested comments, or more even. You can also set the option directly via update_option, or with the options.php admin page that lists all options.