While the OP states that hotels should have a sign stating it is an FKK area, some hotel spas in Europe do however though some non European people do not even know what that means so my experience is that most have signs with a piece of swimwear on and a cross through it indicating no swimwear!
My first experience was at the Frankfurt Hilton when using the hotel spa / wellness area which is operated by the Fitness First group. unaware of the rules I walked into the sauna in my swimmers and was more embarrassed that all the other guys were naked. I was firmly told that I had to take off my swimming trunks or leave. OK I got naked came back in with a towel around my waiste and was told that the towel must be on the wood and my feet must be on the towel but that my genitals must be fully exposed. That's just the way it is in Europe. While it was slightly outside of my comfort zone , I just accepted it as a cultural Norm, . As a young bloke I'm not particularly prude, while I'm not a naturist I'm relatively comfortable being naked around other people having grown up with 3 brothers where sleeping naked was very much the norm, so I was brought up with a healthy attitude to nudity. I can imagine it may be a bit more uncomfortable for female travellers but when in Rome do what the Romans do and if your shy about getting your kit off then I'm sure you can find another way to relax rather than the sauna and steam