This is an interesting question.
I kind of never questioned it, as my "education" said when in sauna, go naked.
And I assume that it is enforced in Germany in order to take away the reasons to by shy in case you are shy... if everybody is naked, no reason to be shy.
I always assumed that it is rooted in sauna culture / Finland.
I was in Finland recently and got to talking with a Finnish woman who was telling me she has a traditional "smoke sauna" at home. I asked if she had ever had sex in the sauna and she seemed horrified that I would ask such a question. It's one thing when it's public, but in her own sauna at home? Clearly part of the sauna culture, although she's missing out in my opinion.
