Scandinavians are body confident and at ease being naked at the sauna. This comes from women being empowered, they really don't care what you think about their bodies, they care about being strong and healthy and able to look after themselves.
This also applies to the Dutch, we actually consider it quite unclean for people to wear clothes in the sauna as it is not good for the private parts - the idea is to "air out" these parts, which are cleaned by the steam, and then out into the cold fresh air. For those with real courage, a dip in a snowy lake or an ice cold swimming pool will rid you of any cobwebs. Wim Hof is my hero. If you haven't tried it, I highly recommend a hot sauna in the nuddy and a cold swim, it does the body the world of good.
Be warned, however, you will be mocked and ridiculed if you go into a Scandinavian or Dutch sauna with clothes on... it's just not done. Better off staying at home.