According to the abstract, the effect was significant only at a "dose" of 4 to 7 sauna visits per week in the 20 years of follow-up.
Now, I don't know much about the availability of saunas in Finland, but one must ask: what kind of person can financially afford, or make time for, 4 to 7 sauna visits per week? Even with the statistical adjustment for traditional cardiovascular risk factors, I seriously doubt that the people who use saunas frequently have the same income levels, attention to health, and all sorts of other habits as the people who never use saunas.
So I would put this study on the heap of interesting correlations that ultimately mean nothing.
BTW, they should look at the development of Alzheimer disease. There is suspicion that high body temperatures (e.g. with fever) can incite the changes in protein conformation that are thought to be essential in the establishment and progression of the disease. So, if sauna users stay a little too long, and get a little bit hyperthermic, they may be setting themselves up for Alzheimer disease. That would be a bummer.