Sauna that was built then wasn't just one hot room, but it also had at minimum small changing room dressing/undressing, relaxing between turns in steam room. Also if it was first building made then adding also lounge which served as living space with beds and cooking stove while building house was common. With sauna you had place to stay warm first winter, able to get warm water, wash clothes, yourselves and even a give birth old times. Building sauna first made lot of sense.

These days sauna for home builders is more about getting sauna somewhere in that floorplan where works well for the intended users of that house.

wouldn't a kitchen accomplish that goal better?