Much of that body of evidence relies on self-reported and self-assigned sauna usage rather than actual randomized trials, and also the papers show massive risk reductions that do not really fit with the country-level data (e.g., if saunas are that good for cardiovascular health and finns use them that much, why do they have similar rates of CV disease as neighboring countries that don't use that much sauna?)

Much of it is, sure, but certainly not all of it! On your comparison to Sweden, be cautious! Finns generally have a higher risk and incidence of cardiovascular disease compared to native Swedes - in fact, they have some of the highest risk in the world!

Research from Earric Lee and/or Jari Laukkanen from this past decade will have clinical trials with controlled groups rather than just long-term population tracking. There are within-Finland studies comparing high-risk Finns who use the sauna 4 to 7 times a week against high-risk Finns who use it only once a week, showing a clear effect (https://pubmed.ncbi.nlm.nih.gov/25705824/). Here is a non-randomized experiment showing a dose-response (https://pubmed.ncbi.nlm.nih.gov/29048215/).

Those are just indications of information available. I would also argue that while of course randomized experiments are ideal, it is a mistake to dismiss all other forms of evidence so readily, especially with such preponderance of it.