Ideally they would exclude from the study's analysis data any time in which a person was under such advisement to avoid the sauna for cardio reasons.
There is no perfect solution, but simply excluding problematic data is often the least confounding option.
Imagine if you did a study on whether air bags in automobiles reduced fatalities, and excluded 'problematic' data involving cases where the occupants were injured by the air bag.
This isn't difficult to do in a longitudinal study and would indeed be standard in many such studies. You wouldn't want to include data where the arrow of causation is known to run opposite to what you are trying to test for.