The Stockholm syndrome is definitely a large factor, but I think that he chose to stay also because when he thought about it, his life in the dunes made just as much sense as his life in the city.
His opinions on unfullfilment of city life are apparent in the beginning of the film, where he talks about how in the city the only things that make you a person are certificates, documents, social conventions, papers and more papers. It was evident that nobody in the city cared for him because no one came to search for him later on when he was stuck in the village. Once a prisoner, there were people who acknowledged him, be it the sand woman, or, to a whole different extent, the villagers. Yes, shoveling up sand for days and days only to help his captors is pointless, but the life he left behind gave him even less fullfilment.
The entire movie is pretty much filled with symbolism (most of which I didn't notice myself ). Throughout the film, Jumpei's figure is shown behind slats and staves, thus symbolizing his captivity. Later when he sees his reflection in the bucket of water, it shakes and is shown behind a rippling surface, because his identity has been turned upside down and lost itself in the process. Notice how the opening credits feature various stamps, grotesque drawings of urban images in midst of sporadically spread lines, resembling a dune swallowing up a city, much like the dune life swallows up a city man.
Found on IMDb Trivia page:
At one point, the entomologist collects an antlion. This insect is from the family Myrmeleontidae. The larval stage is often called a "doodlebug" in the United States. The insect ensnares its prey by digging out a pit in loose sand. When the prey falls into the pit, it is unable to get out and becomes food for the antlion. This is symbolic of the situation the entomologist himself encounters when he is trapped in the sand pit.
I suggest everyone to watch the video essay by James Quandt for more interesting stuff.
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