I can only speak from my own experience, but having to do the sauna for example in puberty and especially mixed in with various extended family or family friends there was always an awareness of a power differential and the male gaze definitely happened even though in my culture the sauna supposedly isn't a sexualized space. But men would definitely look at you. You'd also get the cringe "I can wash your back" comments.

In public saunas there tends to always be a few creeps that everyone knows about. Being in that space as a woman can feel unsafe or just gross.

In Finland you also are to be fully naked in a sauna, for example in a swimming hall. Going in in a bathing suit or wrapped in a towel is allowed for people with a disability only and this is why my stepkid who is trans doesn't go in them anymore. The saunas are obviously separated to mens/womens, there is no gender neutral option.