What solute should I use with dialysis tubing if I want a 100% retention rate?
Polyethylene oxide, AKA polyethylene glycol or PEG has MW > 100,000. You can find higher-MW PEG in disposable diapers and similar absorbent products.

You could also use agar, pectin or gelatin, available in groceries and from lab supply companies.

One of my favorite demos was to make an agar solution with a bit of phenolphthalein added and put it in sausage casing (AKA dialysis tubing). Holding the hotdog over an open bottle of ammonium hydroxide turned it red, and over hydrochloric acid, back to a clear frank.