LTSpice .STEP trace colours
I found it.  If the trace is in a pane on its own, you get the multi colour effect. If it shares the pane with other traces, you don't.

Example of .step directive, parameter C from 200p to 2000p in 200p steps.
.step param C 200p 2000p 200p
.op

Component (capacitor) has a value of {C}