Still there are studies that regular sauna does decrease testosterone production. It's not hard to counter though, ice packs applied to testicles ( not direct ice, ice in a cloth) during sauna are effective for that purpose.

And maybe Finns don't go to sauna when they plan to conceive? Does Finland have a lower rate of unwanted pregnancies?

Finland's fertility rate drove off a cliff in the 60's like in so many other countries. If sauna has an overall effect we wouldn't know as we've nothing to compare with -- going to sauna is rather universal and the tradition is ancient.