Well, that's an anecdote, and so maybe I add mine: Whenever I go more frequently to the sauna (e.g. like 2-3 times per week), and do more sport (like about 7-10h/week), I don't really feel ill at all, for years. When I reduced it (no sauna at all anymore, maybe only sport for 3-5h/week), what I did 3 years ago or so for a few month, I got a mild cold soon after.

But not sure how useful such anecdotes are. My memories are also not perfect. It depends on many factors, such as age, your immune system condition, stress, general health, etc.