Moreover, I'm from a very hot and humid tropical region. Its normal to ne 40°C with 80% humidity there. And you dont see people having better health or longevity (Yucatan peninsula) .

40° internal body temperature is not the same as 40° weather.

Yucatan is not the same as Dubai in Summer.

Your body is under heat shock trying to keep up in a Sauna (that isn't considered warm until 60°). Versus a healthy body CAN keep up in 40°.

The Yucatan equivalent of a Sauna is more like doing hard labor on a roof on a sunny day with no breeze.

The great but not super healthy Mexican diet might offset the potential heat exposure benefits! Although I’m basing that on the diet of my Monterrey-based in-laws, not sure how different Yucatan is.

But that would be like exercise all the time which may not be optimal. (Not saying the theory holds that sauna equals exercise, but if it does, sauna all the time may not be great. Plus, there may be other confounding factors with living in various locations.)