Another uncontrolled-for possibly contaminating factor. There are a host of diseases that make people heat intolerant. Multiple sclerosis (big in Finland) and heart failure are two of them.

People who are relatively intolerant of heat will tend to avoid saunas, thus biasing the outcome in favor of positive health outcomes for people who are able to tolerate the heat.

So they would have had to do a very careful assessment of these people at the time of enrollment in the study.