Finn here. Sauna changes the way people talk, taking them out from the day-to-day on to deeper topics. There isn't anything else to do besides staring at the steaming rocks.
The atmosphere suits it well; dimly lit and relaxing. Laying on your back on grass and staring at the stars would inspire similar conversations.
That said strangers talk to you in the sauna all the time, and that seems to be both acceptable and encouraged.