Expectations around nudity and personal space vary greatly among cultures, even among different subcultures withing the larger European culture. The common expectation in North America are that men and women will be segregated in places such as changing rooms where nudity is normal. There are many exceptions, such as mixed-sex saunas: but the important thing is that people going into these spaces know that they are mixed-sex. In the case discussed here, the changing rooms were labeled, indicating male or female. Women entering their changing room are led to expect it to be a female-only space. It’s abusive of the Spa to allow men to parade around naked in that space, whether or not these men utter some incantation about how they “identify”. It’s a good sign that at least the police are still willing to recognize this as the crime that it is.
EDIT: I sincerely hope that as you gain more exposure to people raised in different cultures, you leave behind the impulse to describe other people as “bizarre”.