[omnimus]

The reason is hygiene. You sweat into your sheet leaving very little behind on benches. Then you shower and bath and do it again.

With swimming clothes you soak everything then bring it back to the chilling pool and back to sauna.

Also imho nudity in sauna seems wierd first time but you quickly realize you can be covered all the time (with sheet) and that its not sexual at all because you are focusing on your body as does everybody else (heat stress).

Imho after few saunas everybody seems to shed this fear and even gain confidence and casuality about the nakedness part.

I think nudist pools are a lot wierder.