Note that the study is from Finland, where sauna-going is not particularly associated with exercise: people just go into the sauna for its own sake. There are saunas in conjunction of gyms, yes, but e.g. apartment buildings often have their own dedicated saunas that the tenants can reserve for their own use. (Somebody having a single one-hour sauna shift per week is typical.)
That said, there are probably other confounders in that e.g. people who can use a sauna seven times a week are a lot more likely to have a sauna of their own, so live in their own house rather than an apartment, among other things.
Note that the study is from Finland, where sauna-going is not particularly associated with exercise: people just go into the sauna for its own sake. There are saunas in conjunction of gyms, yes, but e.g. apartment buildings often have their own dedicated saunas that the tenants can reserve for their own use. (Somebody having a single one-hour sauna shift per week is typical.)
That said, there are probably other confounders in that e.g. people who can use a sauna seven times a week are a lot more likely to have a sauna of their own, so live in their own house rather than an apartment, among other things.