By default, redirects occur automatically, and any checks are performed only at the last redirection ('landing') location, which will not have a 'Location' header in the response.
It seems you need to (globally) override this behaviour with
disableFollowRedirect applied to your HTTP configuration ( ref.
http://gatling.io/docs/current/cheat-sheet/ , HTTP Protocol / Options ), and handle redirections yourself. A temporary/local override would be nice, but there isn't one.
Also see
https://groups.google.com/forum/#!topic/gatling/CfP8hSfcFXs .