I would like to point out that it is not just the sauna in Germany. I was in the Hyatt in Cologne and they have a pool. The locker room and shower facilities of this Hyatt were CO-ED and there was a full naked women showering with a naked man in the locker room (the sauna and steam were in this area). The pool was textile though.
I have been to a therme outside Nuernberg and was exposed to the naked sauna and the co-ed locker room (with stalls if you wanted to change in private); but most of the people (men and women) were changing out in the open. Most of the people who used the stalls were families where young children were a little shy.
So, now I expect in Germany that you may be exposed to co-ed changing facilities more often than not.